Effect of Extra Contribution on Stochastic Optimal Investment Strategies for DC Pension with Stochastic Salary under the Affine Interest Rate Model

نویسندگان
چکیده

برای دانلود رایگان متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Optimal consumption and investment strategies with stochastic interest rates

We characterize the solution to the consumption and investment problem of a timeadditive power utility investor in a continuous-time dynamically complete market with stochastic changes in the opportunity set. It is demonstrated that under stochastic interest rates the investor optimally hedges against changes in the term structure of interest rates by investing in a coupon bond, or portfolio of...

متن کامل

Investment hysteresis under stochastic interest rates

Most decision making research in real options focuses on revenue uncertainty assuming discount rates remain constant. However for many decisions, revenue or cost streams are relatively static and investment is driven by interest rate uncertainty, for example the decision to invest in durable machinery and equipment. Using interest rate models from Cox et al. (1985b), we generalize the work of I...

متن کامل

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

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 inves...

متن کامل

Optimal Portfolio Strategies with Stochastic Wage Income: the Case of a Defined Contribution Pension Plan∗

We consider a stochastic model for a defined-contribution pension fund in continuous time. In particular, we focus on the portfolio problem of a fund manager who wants to maximize the expected utility of his terminal wealth in a complete financial market. The fund manager must cope with a set of stochastic investment opportunities and with the uncertainty involved by the labor market. After int...

متن کامل

Optimal Investment, Consumption and Life Insurance under Stochastic Interest Rate and Volatility

In this paper, we consider the problem of optimal investment, consumption and life insurance for a wage earner who has constant relative risk aversion(CRRA)preferences. The wage earner can invest in zero-coupon bond, stock and life insurance, and can make consumption decision. The interest rate and the volatility of the stock are stochastic, which results in incomplete market. Besides, the labo...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: Journal of Mathematical Finance

سال: 2017

ISSN: 2162-2434,2162-2442

DOI: 10.4236/jmf.2017.74043