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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