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Zhang, Q. and Ge, L. (2016) Optimal Strategies for Asset Allocation and Consumption under Stochastic Volatility. Applied Mathematics Letters.

has been cited by the following article:

• TITLE: Optimal Investment Strategy for Defined Contribution Pension Scheme under the Heston Volatility Model

  AUTHORS: Chidi U. Okonkwo, Bright O. Osu, Silas A. Ihedioha, Chigozie Chibuisi

  KEYWORDS: Defined Contributory Pension Scheme, Stochastic Volatility, CRRA, Prandtl Asymptotic Matching, Optimal Investment Strategy, HJB

  JOURNAL NAME: Journal of Mathematical Finance, Vol.8 No.4, September 30, 2018

  ABSTRACT: In this paper, the optimal investment strategy for a defined contribution (DC) pension scheme was modeled with the assumption that the fund is invested partly in riskless assets and partly in risky assets. The market has a constant interest rate, a stochastic volatility that follows the Heston model, the salary is assumed constant over the entire career of the Pension Plan Participant (PPP) and the contribution is a constant proportion of the salary. The CRRA utility function was utilized to obtain a Hamilton-Jacobi-Bellman (HJB) equation. The resulting HJB equation was solved using the Prandtl Asymptotic Matching Method following the works in the literature.