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《Journal of Nantong University(Natural Science Edition)》 2018-02
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Optimal Investment of DC Pension Under the Inflation and Minimum Guarantee

FU Chunyan;WANG Chuanyu;SHENG Guoxiang;School of Mathematics and Physics,Anhui Polytechnic University;  
This paper mainly studied the optimal investment problem of DC pension plan with dividend and minimum income protection under the inflation environment. First, the Ito formula was used to derive the real wealth process discounted by inflation. And then, the problem of maximizing the expected utility of terminal wealth discounted by inflation at retirement was considered under the constraint of the internal security of the DC pension terminal wealth that is the terminal wealth always exceeds the minimum income guarantee, the HJB equation was used to derive the explicit solution of the optimal investment strategy of DC pension plan at any time before retirement. Finally, the example analysis was given to analyze the influence of different parameters on the optimal investment strategy, which provied more effective strategies for DC pension plan investors.
【Fund】: 国家自然科学基金项目(61503001)
【CateGory Index】: F224;F832.51
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