Article citationsMore>>

C. R. Nwozo and C. I. Nkeki, “Optimal Portfolio and Strategic Consumption Planning in a Life-Cycle of a Pension Plan Member in a Defined Contributory Pension Scheme,” IAENG Journals, Vol. 41, No. 4, 2011, Article ID IJAM_ 41_4_03.

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.