Optimal investment for the defined-contribution pension with stochastic salary under a CEV model

作     者：ZHANG Chu-bing RONG Xi-min ZHAO hui HOU Ru-jing 

作者机构：School of BusinessTianjin University of Finance and Economics School of ScienceTianjin University International Business SchoolNankai University 

出 版 物：《Applied Mathematics(A Journal of Chinese Universities)》 (高校应用数学学报（英文版）（B辑）)

年 卷 期：2013年第28卷第2期

页      面：187-203页

核心收录：

学科分类：02[经济学] 0202[经济学-应用经济学] 020208[经济学-统计学] 07[理学] 0714[理学-统计学（可授理学、经济学学位）] 070103[理学-概率论与数理统计] 0701[理学-数学] 

基　　金：Supported by the National Natural Science Foundation of Tianjin (07JCYBJC05200) the Young Scholar Program of Tianjin University of Finance and Economics (TJYQ201201) 

主　　题：Defined contribution pension plan Stochastic salary constant elasticity of variance model optimal investment 

摘      要：In this paper, we study the optimal investment strategy of defined-contribution pension with the stochastic salary. The investor is allowed to invest in a risk-free asset and a risky asset whose price process follows a constant elasticity of variance model. The stochastic salary follows a stochastic differential equation, whose instantaneous volatility changes with the risky asset price all the time. The HJB equation associated with the optimal investment problem is established, and the explicit solution of the corresponding optimization problem for the CARA utility function is obtained by applying power transform and variable change technique. Finally, we present a numerical analysis.