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G. Deelstra, M. Grasselli and P. Koehl, “Optimal Investment Strategies in the Presence of a Minimum Guarantee,” Insurance: Mathematics and Economics, Vol. 33, No. 1, 2003, pp. 189-207. doi:10.1016/S0167-6687(03)00153-7

has been cited by the following article:

• TITLE: Variational Form of Classical Portfolio Strategy and Expected Wealth for a Defined Contributory

  AUTHORS: Charles I. Nkeki, Chukwuma R. Nwozo

  KEYWORDS: Variational Form; Classical Portfolio Strategy; Expected Wealth; Defined Contribution; Pension Scheme; Pension Plan Member; Inter-Temporal Hedging Terms; Stochastic Salary

  JOURNAL NAME: Journal of Mathematical Finance, Vol.2 No.1, February 28, 2012

  ABSTRACT: This paper examines the variational form of classical portfolio strategy and expected terminal wealth for a Pension Plan Member (PPM) in a Defined Contribution (DC) Pension scheme. The flows of contributions made by PPM are invested into a market that is characterized by a cash account and a stock. It was assumed that the growth rate of salary of PPM is a linear function of time. The present value of PPM’s future contribution process was obtained. The optimal portfolio processes with inter-temporal hedging terms that offset any shocks to the stochastic cash inflows were established. The expected value of PPM’s terminal wealth was obtained.