摘要：This paper investigates the optimal control of asset allocation on a defined contribution pension plan. In our model, the plan member is allowed to invest in a risk-free asset (bank account), a risky asset (stock) and an inflation-linked bond. The dynamics of the wealth in our model take into account a certain proportion of the client’s salary paid as the contribution towards the pension fund. By applying the Hamilton-Jacobi-Bellman equation we find the explicit solutions for the CARA and CRRA utility functions. This helps us to calculate the investment strategies associated with the stock and inflation-linked bond. Finally, a numerical simulation is presented to illustrate the behaviour of the model.
