English, Article, Journal or magazine article edition: Optimal Pension Management under Stochastic Interest Rates, Wages, and Inflation Paolo BATTOCCHIO; Francesco MENONCIN

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Bookmark: http://trove.nla.gov.au/version/178627
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Optimal Pension Management under Stochastic Interest Rates, Wages, and Inflation
Author
  • Paolo BATTOCCHIO
  • Francesco MENONCIN
Physical Description
  • preprint
Notes
  • 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 with stochastic interest rate. The fund manager must cope with two background risks: the salary risk and the inflation risk. We find a closed form solution for the asset allocation problem and so we are able to analyse in detail the behaviour of the optimal portfolio with respect to salary and inflation. Finally, a numerical simulation is presented.
  • defined-contribution pension plan;salary risk;inflation risk;stochastic optimal control;Hamilton-Jacobi-Bellman equation
  • RePEc:ctl:louvir:2002021
Language
  • English
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