Optimal defined contribution pension management with jump diffusions and common shock dependence

This work deals with an optimal asset allocation problem for a defined contribution (DC) pension plan during its accumulation phase. The contribution rate is proportional to the individual's salary, the dynamics of which follows a Heston stochastic volatility model with jumps, and there are com...

Full description

Saved in:
Bibliographic Details
Published in:arXiv.org 2021-03
Main Authors: Zhang, Xiaoyi, Tian, Linlin
Format: Article
Language:English
Subjects:
Defined contribution plans
Dynamic programming
Pension plans
Stochastic models
Volatility
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
cited_by
cites
container_end_page
container_issue
container_start_page
container_title arXiv.org
container_volume
creator Zhang, Xiaoyi
Tian, Linlin
description This work deals with an optimal asset allocation problem for a defined contribution (DC) pension plan during its accumulation phase. The contribution rate is proportional to the individual's salary, the dynamics of which follows a Heston stochastic volatility model with jumps, and there are common shocks between the salary and the volatility. Since the time horizon of pension management might be long, the influence of inflation is considered in the context. The inflation index is subjected to a Poisson jump and a Brownian uncertainty. The pension plan aims to reduce fluctuations of terminal wealth by investing the fund in a financial market consisting of a riskless asset and a risky asset. The dynamics of the risky asset is given by a jump diffusion process. The closed form of investment decision is derived by the dynamic programming approach.
format article
fullrecord <record><control><sourceid>proquest</sourceid><recordid>TN_cdi_proquest_journals_2496730619</recordid><sourceformat>XML</sourceformat><sourcesystem>PC</sourcesystem><sourcerecordid>2496730619</sourcerecordid><originalsourceid>FETCH-proquest_journals_24967306193</originalsourceid><addsrcrecordid>eNqNjL0OgjAURhsTE4nyDk2cSUrLj8xG4-bijhUuUqS3lbbx9YXEB3A6w3fOtyIRFyJNDhnnGxI7NzDGeFHyPBcRuV-tV1qOtIVOIbS0Megn9QheGaQW0C3UEuUTNKCnH-V7OgRtaau6LiyzoxKXUOtZdb1pXvPbnLaADezIupOjg_jHLdmfT7fjJbGTeQdwvh5MmHCeap5VRSlYkVbiP-sLlmBGEg</addsrcrecordid><sourcetype>Aggregation Database</sourcetype><iscdi>true</iscdi><recordtype>article</recordtype><pqid>2496730619</pqid></control><display><type>article</type><title>Optimal defined contribution pension management with jump diffusions and common shock dependence</title><source>Publicly Available Content Database</source><creator>Zhang, Xiaoyi ; Tian, Linlin</creator><creatorcontrib>Zhang, Xiaoyi ; Tian, Linlin</creatorcontrib><description>This work deals with an optimal asset allocation problem for a defined contribution (DC) pension plan during its accumulation phase. The contribution rate is proportional to the individual's salary, the dynamics of which follows a Heston stochastic volatility model with jumps, and there are common shocks between the salary and the volatility. Since the time horizon of pension management might be long, the influence of inflation is considered in the context. The inflation index is subjected to a Poisson jump and a Brownian uncertainty. The pension plan aims to reduce fluctuations of terminal wealth by investing the fund in a financial market consisting of a riskless asset and a risky asset. The dynamics of the risky asset is given by a jump diffusion process. The closed form of investment decision is derived by the dynamic programming approach.</description><identifier>EISSN: 2331-8422</identifier><language>eng</language><publisher>Ithaca: Cornell University Library, arXiv.org</publisher><subject>Defined contribution plans ; Dynamic programming ; Pension plans ; Stochastic models ; Volatility</subject><ispartof>arXiv.org, 2021-03</ispartof><rights>2021. This work is published under http://arxiv.org/licenses/nonexclusive-distrib/1.0/ (the “License”). Notwithstanding the ProQuest Terms and Conditions, you may use this content in accordance with the terms of the License.</rights><oa>free_for_read</oa><woscitedreferencessubscribed>false</woscitedreferencessubscribed></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><linktohtml>$$Uhttps://www.proquest.com/docview/2496730619?pq-origsite=primo$$EHTML$$P50$$Gproquest$$Hfree_for_read</linktohtml><link.rule.ids>780,784,25752,37011,44589</link.rule.ids></links><search><creatorcontrib>Zhang, Xiaoyi</creatorcontrib><creatorcontrib>Tian, Linlin</creatorcontrib><title>Optimal defined contribution pension management with jump diffusions and common shock dependence</title><title>arXiv.org</title><description>This work deals with an optimal asset allocation problem for a defined contribution (DC) pension plan during its accumulation phase. The contribution rate is proportional to the individual's salary, the dynamics of which follows a Heston stochastic volatility model with jumps, and there are common shocks between the salary and the volatility. Since the time horizon of pension management might be long, the influence of inflation is considered in the context. The inflation index is subjected to a Poisson jump and a Brownian uncertainty. The pension plan aims to reduce fluctuations of terminal wealth by investing the fund in a financial market consisting of a riskless asset and a risky asset. The dynamics of the risky asset is given by a jump diffusion process. The closed form of investment decision is derived by the dynamic programming approach.</description><subject>Defined contribution plans</subject><subject>Dynamic programming</subject><subject>Pension plans</subject><subject>Stochastic models</subject><subject>Volatility</subject><issn>2331-8422</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2021</creationdate><recordtype>article</recordtype><sourceid>PIMPY</sourceid><recordid>eNqNjL0OgjAURhsTE4nyDk2cSUrLj8xG4-bijhUuUqS3lbbx9YXEB3A6w3fOtyIRFyJNDhnnGxI7NzDGeFHyPBcRuV-tV1qOtIVOIbS0Megn9QheGaQW0C3UEuUTNKCnH-V7OgRtaau6LiyzoxKXUOtZdb1pXvPbnLaADezIupOjg_jHLdmfT7fjJbGTeQdwvh5MmHCeap5VRSlYkVbiP-sLlmBGEg</recordid><startdate>20210303</startdate><enddate>20210303</enddate><creator>Zhang, Xiaoyi</creator><creator>Tian, Linlin</creator><general>Cornell University Library, arXiv.org</general><scope>8FE</scope><scope>8FG</scope><scope>ABJCF</scope><scope>ABUWG</scope><scope>AFKRA</scope><scope>AZQEC</scope><scope>BENPR</scope><scope>BGLVJ</scope><scope>CCPQU</scope><scope>DWQXO</scope><scope>HCIFZ</scope><scope>L6V</scope><scope>M7S</scope><scope>PIMPY</scope><scope>PQEST</scope><scope>PQQKQ</scope><scope>PQUKI</scope><scope>PRINS</scope><scope>PTHSS</scope></search><sort><creationdate>20210303</creationdate><title>Optimal defined contribution pension management with jump diffusions and common shock dependence</title><author>Zhang, Xiaoyi ; Tian, Linlin</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-proquest_journals_24967306193</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2021</creationdate><topic>Defined contribution plans</topic><topic>Dynamic programming</topic><topic>Pension plans</topic><topic>Stochastic models</topic><topic>Volatility</topic><toplevel>online_resources</toplevel><creatorcontrib>Zhang, Xiaoyi</creatorcontrib><creatorcontrib>Tian, Linlin</creatorcontrib><collection>ProQuest SciTech Collection</collection><collection>ProQuest Technology Collection</collection><collection>Materials Science &amp; Engineering Collection</collection><collection>ProQuest Central (Alumni)</collection><collection>ProQuest Central</collection><collection>ProQuest Central Essentials</collection><collection>ProQuest Central</collection><collection>Technology Collection</collection><collection>ProQuest One Community College</collection><collection>ProQuest Central Korea</collection><collection>SciTech Premium Collection</collection><collection>ProQuest Engineering Collection</collection><collection>Engineering Database</collection><collection>Publicly Available Content Database</collection><collection>ProQuest One Academic Eastern Edition (DO NOT USE)</collection><collection>ProQuest One Academic</collection><collection>ProQuest One Academic UKI Edition</collection><collection>ProQuest Central China</collection><collection>Engineering Collection</collection></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Zhang, Xiaoyi</au><au>Tian, Linlin</au><format>book</format><genre>document</genre><ristype>GEN</ristype><atitle>Optimal defined contribution pension management with jump diffusions and common shock dependence</atitle><jtitle>arXiv.org</jtitle><date>2021-03-03</date><risdate>2021</risdate><eissn>2331-8422</eissn><abstract>This work deals with an optimal asset allocation problem for a defined contribution (DC) pension plan during its accumulation phase. The contribution rate is proportional to the individual's salary, the dynamics of which follows a Heston stochastic volatility model with jumps, and there are common shocks between the salary and the volatility. Since the time horizon of pension management might be long, the influence of inflation is considered in the context. The inflation index is subjected to a Poisson jump and a Brownian uncertainty. The pension plan aims to reduce fluctuations of terminal wealth by investing the fund in a financial market consisting of a riskless asset and a risky asset. The dynamics of the risky asset is given by a jump diffusion process. The closed form of investment decision is derived by the dynamic programming approach.</abstract><cop>Ithaca</cop><pub>Cornell University Library, arXiv.org</pub><oa>free_for_read</oa></addata></record>
fulltext fulltext
identifier EISSN: 2331-8422
ispartof arXiv.org, 2021-03
issn 2331-8422
language eng
recordid cdi_proquest_journals_2496730619
source Publicly Available Content Database
subjects Defined contribution plans
Dynamic programming
Pension plans
Stochastic models
Volatility
title Optimal defined contribution pension management with jump diffusions and common shock dependence
url http://sfxeu10.hosted.exlibrisgroup.com/loughborough?ctx_ver=Z39.88-2004&ctx_enc=info:ofi/enc:UTF-8&ctx_tim=2025-01-08T17%3A04%3A31IST&url_ver=Z39.88-2004&url_ctx_fmt=infofi/fmt:kev:mtx:ctx&rfr_id=info:sid/primo.exlibrisgroup.com:primo3-Article-proquest&rft_val_fmt=info:ofi/fmt:kev:mtx:book&rft.genre=document&rft.atitle=Optimal%20defined%20contribution%20pension%20management%20with%20jump%20diffusions%20and%20common%20shock%20dependence&rft.jtitle=arXiv.org&rft.au=Zhang,%20Xiaoyi&rft.date=2021-03-03&rft.eissn=2331-8422&rft_id=info:doi/&rft_dat=%3Cproquest%3E2496730619%3C/proquest%3E%3Cgrp_id%3Ecdi_FETCH-proquest_journals_24967306193%3C/grp_id%3E%3Coa%3E%3C/oa%3E%3Curl%3E%3C/url%3E&rft_id=info:oai/&rft_pqid=2496730619&rft_id=info:pmid/&rfr_iscdi=true