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 JMF  Vol.2 No.1 , February 2012
Variational Form of Classical Portfolio Strategy and Expected Wealth for a Defined Contributory
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.
Cite this paper: C. Nkeki and C. Nwozo, "Variational Form of Classical Portfolio Strategy and Expected Wealth for a Defined Contributory," Journal of Mathematical Finance, Vol. 2 No. 1, 2012, pp. 132-139. doi: 10.4236/jmf.2012.21015.
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