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Blake, D., Cairns, A.J.G. and Dowd, K. (2001) Pensionmetrics: Stochastic Pension Plan Design and Value-at-Risk during the Accumulation Phase. Insurance: Mathematics and Economics, 29, 187-215. https://doi.org/10.1016/S0167-6687(01)00082-8

has been cited by the following article:

• TITLE: Optimal Control of Assets Allocation on a Defined Contribution Pension Plan

  AUTHORS: Oteng Keganneng, Othusitse Basimanebotlhe

  KEYWORDS: Asset Allocations, Defined Contribution, Defined Benefit Pension Fund, Stochastic Salary, Brownian Motion, Utility Function, Power Utility, Optimal Portfolio, Stochastic Optimal Control, Hamilton-Jacobi-Bellman Equation

  JOURNAL NAME: Open Access Library Journal, Vol.9 No.6, June 30, 2022

  ABSTRACT: 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 client’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.