publication . Article . 2014

Mean-Variance Portfolio Selection for Defined-Contribution Pension Funds with Stochastic Salary

Zhang, Chubing;
Open Access English
  • Published: 01 Mar 2014 Journal: The Scientific World Journal, volume 2,014 (issn: 2356-6140, eissn: 1537-744X, Copyright policy)
  • Publisher: Hindawi Publishing Corporation
Abstract
This paper focuses on a continuous-time dynamic mean-variance portfolio selection problem of defined-contribution pension funds with stochastic salary, whose risk comes from both financial market and nonfinancial market. By constructing a special Riccati equation as a continuous (actually a viscosity) solution to the HJB equation, we obtain an explicit closed form solution for the optimal investment portfolio as well as the efficient frontier.
Subjects
arxiv: Mathematics::Optimization and Control
free text keywords: Q, R, Research Article, T, Science, Medicine, Technology, Article Subject
23 references, page 1 of 2

Boulier, J.-F., Huang, S., Taillard, G.. Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund. Insurance: Mathematics and Economics. 2001; 28 (2): 173-189

Deelstra, G., Grasselli, M., Koehl, P.-F.. Optimal investment strategies in the presence of a minimum guarantee. Insurance: Mathematics and Economics. 2003; 33 (1): 189-207 [OpenAIRE]

Cairns, A. J. G., Blake, D., Dowd, K.. Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans. Journal of Economic Dynamics and Control. 2006; 30 (5): 843-877

Xiao, J., Zhai, H., Qin, C.. The constant elasticity of variance (CEV) model and the Legendre transform-dual solution for annuity contracts. Insurance: Mathematics and Economics. 2007; 40 (2): 302-310

Battocchio, P., Menoncin, F.. Optimal pension management in a stochastic framework. Insurance: Mathematics and Economics. 2004; 34 (1): 79-95

Gao, J.. Optimal portfolios for DC pension plans under a CEV model. Insurance: Mathematics and Economics. 2009; 44 (3): 479-490

Gao, J.. Optimal investment strategy for annuity contracts under the constant elasticity of variance (CEV) model. Insurance: Mathematics and Economics. 2009; 45 (1): 9-18

Zhou, X. Y., Li, D.. Continuous-time mean-variance portfolio selection: a stochastic LQ framework. Applied Mathematics and Optimization. 2000; 42 (1): 19-33

Markowitz, H. M.. Portfolio selection. Journal of Finance. 1952; 7 (1): 77-91

Markowitz, H. M.. Portfolio Selection: Efficient Diversification of Investment. 1959

Campbell, J. Y., Lo, A. W., MacKinlay, A. C.. The Econometrics of Financial Markets. 1997

Li, D., Ng, W.-L.. Optimal dynamic portfolio selection: multiperiod mean-variance formulation. Mathematical Finance. 2000; 10 (3): 387-406

Hakansson, N. H.. Capital growth and the mean-variance approach to portfolio selection. Journal of Financial and Quantitative Analysis. 1971; 6: 517-557

Merton, R. C.. An analytic derivation of the efficient portfolio frontier. Journal of Financial and Economics Analysis. 1972; 7: 1851-1872

Cox, J. C., Huang, C.-F.. Optimal consumption and portfolio policies when asset prices follow a diffusion process. Journal of Economic Theory. 1989; 49 (1): 33-83

23 references, page 1 of 2
Powered by OpenAIRE Open Research Graph
Any information missing or wrong?Report an Issue
publication . Article . 2014

Mean-Variance Portfolio Selection for Defined-Contribution Pension Funds with Stochastic Salary

Zhang, Chubing;