Artikel
The role of inflation-indexed bond in optimal management of defined contribution pension plan during the decumulation phase
This paper investigates the optimal investment strategy for a defined contribution (DC) pension plan during the decumulation phase which is risk-averse and pays close attention to inflation risk. The plan aims to maximize the expected constant relative risk aversion (CRRA) utility from the terminal real wealth by investing the fund in a financial market consisting of an inflation-indexed bond, an ordinary zero coupon bond and a risk-free asset. We derive the optimal investment strategy in closed-form using the dynamic programming approach by solving the related Hamilton-Jacobi-Bellman (HJB) equation. The results reveal that, with any level of the parameters, an inflation-indexed bond has significant advantage to hedge inflation risk.
- Sprache
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Englisch
- Erschienen in
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Journal: Risks ; ISSN: 2227-9091 ; Volume: 6 ; Year: 2018 ; Issue: 2 ; Pages: 1-16 ; Basel: MDPI
- Klassifikation
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Wirtschaft
- Thema
-
inflation-indexed bond
DC pension plan
stochastic optimal control
dynamic programming approach
HJB equation
- Ereignis
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Geistige Schöpfung
- (wer)
-
Zhang, Xiaoyi
Guo, Junyi
- Ereignis
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Veröffentlichung
- (wer)
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MDPI
- (wo)
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Basel
- (wann)
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2018
- DOI
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doi:10.3390/risks6020024
- Handle
- Letzte Aktualisierung
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10.03.2025, 11:44 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Zhang, Xiaoyi
- Guo, Junyi
- MDPI
Entstanden
- 2018
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