Equilibrium investment strategy for defined contribution pension plans with the return of premiums clauses under Heston model
WU Yi-dong
Abstract：In this paper,we study the optimal investment problem for the defined contribution(DC)pension plans under the mean-variance criterion.The financial market consists of a risk-free asset and a risky asset with Heston's stochastic volatility(SV).Furthermore,it is assumed that the pension plans have return of premium clauses to protect the rights of the plan members who die during the accumulation phase.By applying a game theoretic framework and solving the extended Hamilton-Jacobi-Bellman(HJB)systems,we derive the explicit expressions of the time-consistent equilibrium strategies,and also the equilibrium efficient frontier.As far as we known,it is the first time to study the equilibrium strategy for DC plans under the Heston's SV model,in which the return of premiums clauses is considered.In the end,some properties of the efficient strategy and the efficient frontier are presented for our results.
Keywords：defined contribution planHeston modelmean-variancetime-consistent strategyreturn of premiums clauses
Publication Date：2018-01-01
Online Publishing Date：2025-08-15(First online date of this platform, not the publication date of the document)
Pages：7( 342-348 )