Defined contribution pension fund scheme with HARA preference under inflation risk

DOI10.15960/J.CNKI.ISSN.1007-6093.2016.04.005MaRDI QIDQ5282672zbMATH OpenFDO

Authors Hao Chang, Chunfeng Wang, Zhen-Ming Fang

Publication date 14 July 2017

zbMATH Keywords

HARA utilityinflation riskoptimal investment strategyLegendre transform-dual theoryDC pension fund scheme

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Portfolio theory (91G10)

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Cited in

(4)

• Optimal management of defined contribution pension funds under the effect of inflation, mortality and uncertainty
• The real risk in pension forecasting
• Unhedgeable inflation risk within pension schemes
• Defined contribution pension planning with the return of premiums clauses and HARA preference in stochastic environments

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