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Optimal investment strategy for a DC pension fund plan in a finite horizon time: an optimal stochastic control approach.
- Source :
- Annals of Actuarial Science; Jul2022, Vol. 16 Issue 2, p367-383, 17p
- Publication Year :
- 2022
-
Abstract
- This paper obtains an optimal strategy in a finite horizon time for a portfolio of a defined contribution (DC) pension fund for an investor with the CRRA utility function. It employs the optimal stochastic control method in a financial market with two different asset markets, one risk-free and another one risky asset in which its jump follows either by a finite or infinite activity Lévy process. Sensitivity of jump parameters in an uncertainty financial market has been studied. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 17484995
- Volume :
- 16
- Issue :
- 2
- Database :
- Complementary Index
- Journal :
- Annals of Actuarial Science
- Publication Type :
- Academic Journal
- Accession number :
- 158244966
- Full Text :
- https://doi.org/10.1017/S1748499521000270