TY - JOUR
T1 - Optimal Defined Contribution Pension Management with Salary and Risky Assets Following Jump Diffusion Processes
AU - Zhang , Xiaoyi
AU - Guo , Junyi
JO - East Asian Journal on Applied Mathematics
VL - 1
SP - 22
EP - 39
PY - 2020
DA - 2020/01
SN - 10
DO - http://doi.org/10.4208/eajam.301218.170419
UR - https://global-sci.org/intro/article_detail/eajam/13576.html
KW - Compound Poisson process, defined contribution pension plan, stochastic optimal control, dynamic programming approach, Hamilton-Jacobi-Bellman equation.
AB - <p style="text-align: justify;">The paper considers an optimal asset allocation problem for a defined contribution pension plan during the accumulation phase. The salary follows a stochastic process, which combines a compound Poisson jump with Brownian uncertainty. The plan aims to minimise the quadratic loss function over finite time horizon by investing in the market of risky assets and bank account. The risky assets are subjected to Poisson jump and Brownian motion. The closed-form optimal investment decision is derived from the corresponding Hamilton-Jacobi-Bellman equation.<br/></p>