Optimal Investment Strategy for DC Pension Plan with Deposit Loan Spread under the CEV Model

This paper is devoted to determining an optimal investment strategy for a defined-contribution (DC) pension plan with deposit loan spread under the constant elasticity of variance (CEV) model. As far as we know, few studies in literature have taken loans into account when using CEV model financial market contexts. The contribution this study impact on DC strategy. By considering risk-free asset, risky asset driven by model, and market, first set up dynamic equation which are instrumental achieving expected utility ultimate wealth at retirement. Second, corresponding Hamilton–Jacobi–Bellman (HJB) derived means programming principle. explicit expression obtained Legendre transform method. Finally, different parameters selected simulate solution, interpretation provided. We find that has great plans.