Optimal Time-Consistent Investment Strategy for a DC Pension Plan with the Return of Premiums Clauses and Annuity Contracts

<table>Evolutions of optimal investment strategy <svg height="13.95" id="M187" style="vertical-align:-0.16302pt" version="1.1" viewbox="0 0 17.775 13.95" width="17.775" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink">
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<g transform="matrix(.012,-0,0,-.012,10.113,5.525)"><path d="M471 153q-22 -15 -61 -13q-25 31 -45.5 49.5t-56.5 41.5q4 -71 28 -134q-17 -33 -42 -46q-24 12 -42 46q24 63 28 134q-36 -23 -56.5 -41.5t-45.5 -49.5q-36 -2 -61 13q0 28 19 59q65 10 130 43q-65 33 -130 43q-19 31 -19 59q22 15 61 13q25 -31 45.5 -49.5t56.5 -41.5
q-4 71 -28 134q17 33 42 46q24 -12 42 -46q-24 -63 -28 -134q36 23 56.5 41.5t45.5 49.5q36 2 61 -13q0 -28 -19 -59q-65 -10 -130 -43q65 -33 130 -43q19 -31 19 -59z" id="x2217"></path></g>
</svg> with different correlation coefficients <svg height="12.175" id="M188" style="vertical-align:-2.29482pt" version="1.1" viewbox="0 0 9.2875004 12.175" width="9.2875004" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink">
<g transform="matrix(.017,-0,0,-.017,.062,7.675)"><path d="M516 277q0 -126 -140 -231q-36 -27 -75.5 -42.5t-63.5 -15.5q-38 0 -73 43q-10 -44 -18 -106q-18 -134 -32 -151q-12 -16 -40 -25t-46 -10l-5 14q22 38 84 406q16 92 44.5 146.5t88.5 95.5q68 47 136 47q63 0 101.5 -47.5t38.5 -123.5zM432 259q0 61 -27 101t-79 40
t-82 -49t-49 -148l-24 -127q42 -36 88 -36q79 0 126 61.5t47 157.5z" id="x1D70C"></path></g>
</svg>.</table>

Discrete Dynamics in Nature and Society

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Figure 4

Figure 4: Optimal Time-Consistent Investment Strategy for a DC Pension Plan with the Return of Premiums Clauses and Annuity Contracts 