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Optimal investment strategy for a DC pension fund plan in a finite horizon time: an optimal stochastic control approach

Published online by Cambridge University Press:  18 February 2022

Saman Vahabi  and
Amir T. Payandeh Najafabadi Open the ORCID record for Amir T. Payandeh Najafabadi [Opens in a new window]
Saman Vahabi
Affiliation:
Department of Actuarial Science, Faculty of Mathematical Sciences, Shahid Beheshti University, Tehran, Iran
Amir T. Payandeh Najafabadi*
Affiliation:
Department of Actuarial Science, Faculty of Mathematical Sciences, Shahid Beheshti University, Tehran, Iran
*
*Corresponding author. E-mail: amirtpayandeh@sbu.ac.ir
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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.

Keywords

Optimal strategyPension plansPension fundFinite/Infinite activity Lévy processes
Type
Original Research Paper
Information
Annals of Actuarial Science , Volume 16 , Issue 2 , July 2022 , pp. 367 - 383
Copyright
© The Author(s), 2022. Published by Cambridge University Press on behalf of Institute and Faculty of Actuaries

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