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首页> 外文期刊>Journal of Mathematical Finance >Effect of Extra Contribution on Stochastic Optimal Investment Strategies for DC Pension with Stochastic Salary under the Affine Interest Rate Model
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Effect of Extra Contribution on Stochastic Optimal Investment Strategies for DC Pension with Stochastic Salary under the Affine Interest Rate Model

机译：仿制性利率模型下随机薪水随机优化投资策略对随机最佳投资策略的影响

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摘要

In this paper, optimal investment strategies for defined contribution (DC) Pension, with extra contribution are studied. Our model permits the plan member to make a defined extra contribution, as provided in the Nigerian Pension Reform Act of 2004. The plan member is free to invest in risk-free asset, and in two risky assets. A stochastic differential equation of the pension wealth that takes into account certain agreed proportions of the plan member’s salary, paid as contribution, and extra contribution towards the pension fund, is presented. The Hamilton-Jacobi-Bellman (H-J-B) equation, Legend transformation, and Dual theory are used to obtain the explicit solution of the optimal investment strategies for constant relative risk aversion (CRRA) utility function. We observed that the plan member will increase the proportion of his wealth to be invested in bond and stock and will reduce the proportion to be invested in cash.
机译：在本文中，研究了定期缴费（DC）养老金的最佳投资策略，并研究了额外的贡献。我们的型号允许计划成员在2004年尼日利亚养恤金改革法案中提供的额外贡献。该计划成员可以自由投资无风险资产，并在两个风险资产中投入。提出了一项考虑到计划成员的薪酬的某些商定比例的养老金财富的随机微分方程，作为捐款，以及对养老基金的额外贡献。 Hamilton-Jacobi-Bellman（H-J-B）方程式，传奇变换和双理论用于获得最佳投资策略的明确解决方案，以实现恒定的相对风险厌恶（CRRA）实用功能。我们观察到计划成员将增加其财富的比例，以投资于债券和股票，并将减少以现金投入的比例。

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