Article ID: | iaor20103311 |
Volume: | 71 |
Issue: | 2 |
Start Page Number: | 353 |
End Page Number: | 369 |
Publication Date: | Apr 2010 |
Journal: | Mathematical Methods of Operations Research |
Authors: | Zhang Aihua, Ewald Christian-Oliver |
Keywords: | pensions |
This paper investigates an optimal investment problem faced by a defined contribution (DC) pension fund manager under inflationary risk. It is assumed that a representative member of a DC pension plan contributes a fixed share of his salary to the pension fund during the finite time horizon [0,