Time-Consistent Investment Strategy for DC Pension Plan with Stochastic Salary Under CEV Model

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Affiliation of Author(s):School of Sciences

Journal:JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY

Place of Publication:China

Key Words:Constant elasticity of variance model; defined contribution pension plan; mean-variance criterion; s

Abstract:This paper aims to derive the time-consistent investment strategy for the defined contribution (DC) pension plan under the mean-variance criterion. The financial market consists of a risk-free asset and a risky asset of which price process satisfies the constant elasticity of variance (CEV) model. Compared with the geometric Brownian motion model, the CEV model has the ability of capturing the implied volatility skew and explaining the volatility smile.

All the Authors:Li Danping, Rong Ximin, ZHao Hui

First Author:Li Danping

Indexed by:Unit Twenty Basic Research

Correspondence Author:Zhao Hui

Document Code:SCI: DI3AC

Volume:29

Issue:2

Page Number:428-454

ISSN No.:1009-6124

Translation or Not:no