%0 Journal Article
%T Optimal Control of Assets Allocation on a Defined Contribution Pension Plan
%A Oteng Keganneng
%A Othusitse Basimanebotlhe
%J Open Access Library Journal
%V 9
%N 6
%P 1-17
%@ 2333-9721
%D 2022
%I Open Access Library
%R 10.4236/oalib.1107970
%X This paper investigates the optimal control of asset allocation on a defined contribution pension plan. In our model, the plan member is allowed to invest in a risk-free asset (bank account), a risky asset (stock) and an inflation-linked bond. The dynamics of the wealth in our model take into account a certain proportion of the clientĄ¯s salary paid as the contribution towards the pension fund. By applying the Hamilton-Jacobi-Bellman equation we find the explicit solutions for the CARA and CRRA utility functions. This helps us to calculate the investment strategies associated with the stock and inflation-linked bond. Finally, a numerical simulation is presented to illustrate the behaviour of the model.
%K Asset Allocations
%K Defined Contribution
%K Defined Benefit Pension Fund
%K Stochastic Salary
%K Brownian Motion
%K Utility Function
%K Power Utility
%K Optimal Portfolio
%K Stochastic Optimal Control
%K Hamilton-Jacobi-Bellman Equation
%U http://www.oalib.com/paper/6763735