Optimal asset allocation for a DC plan with partial information under inflation and mortality risks. (English) Zbl 07530952
Summary: We study an asset allocation stochastic problem for a defined-contribution pension plan during the accumulation phase. We consider a financial market composed of a risk-free asset, an inflation-linked bond and the risky asset. The fund manager aims to maximize the expected power utility derived from the terminal wealth. Our solution allows one to incorporate a clause which allows for the distribution of a member’s premiums to his surviving dependents, should the member die before retirement. Besides the mortality risk, our optimization problem takes into account salary and the inflation risks. We then obtain closed form solutions for the asset allocation problem using a sufficient maximum principle approach for the problem with partial information. Finally, we give a numerical example.
MSC:
| 60H30 | Applications of stochastic analysis (to PDEs, etc.) |
| 91B30 | Risk theory, insurance (MSC2010) |
| 93E20 | Optimal stochastic control |
| 91G10 | Portfolio theory |
| 91G80 | Financial applications of other theories |
| 62-XX | Statistics |
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