Loading...
Please wait, while we are loading the content...
Similar Documents
The Role of Inflation-indexed Bond in Optimal Management of Defined Contribution Pension Plan During the Decumulation Phrase
| Content Provider | Semantic Scholar |
|---|---|
| Author | Zhang, Xiaoyi Guo, Junyi |
| Copyright Year | 2018 |
| Abstract | In this paper we investigate the optimal investment strategy for a defined contribution (DC) pension plan during the decumulation phrase which is risk-averse and pays close attention to inflation risk. The plan aims to maximize the expected constant relative risk aversion (CRRA) utility from the terminal wealth by investing the wealth in a financial market consisting of an inflation-indexed bond, an ordinary zero coupon bond and a risk-free asset. We derive the optimal investment strategy in closed-form using the dynamic programming approach by solving the corresponding Hamilton-Jacobi-Bellman (HJB) equation. Our theoretical and numerical results reveal that under some rational assumptions, an inflation-indexed bond do has significant advantage to hedge inflation risk. |
| File Format | PDF HTM / HTML |
| Alternate Webpage(s) | https://www.preprints.org/manuscript/201801.0239/v1/download |
| Language | English |
| Access Restriction | Open |
| Subject Keyword | Arabic numeral 0 Dynamic programming Hamilton–Jacobi–Bellman equation Index Jacobi method Numerical analysis Risk aversion hamilton rating scale for depression |
| Content Type | Text |
| Resource Type | Article |
