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Discrete Dynamics in Nature and Society
Volume 2013 (2013), Article ID 297875, 11 pages
Research Article

Optimal Investment Strategies for DC Pension with Stochastic Salary under the Affine Interest Rate Model

1College of Business, Tianjin University of Finance and Economics, Tianjin 300222, China
2College of Science, Tianjin University, Tianjin 300072, China

Received 14 December 2012; Accepted 1 February 2013

Academic Editor: Xiaochen Sun

Copyright © 2013 Chubing Zhang and Ximing Rong. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.


We study the optimal investment strategies of DC pension, with the stochastic interest rate (including the CIR model and the Vasicek model) and stochastic salary. In our model, the plan member is allowed to invest in a risk-free asset, a zero-coupon bond, and a single risky asset. By applying the Hamilton-Jacobi-Bellman equation, Legendre transform, and dual theory, we find the explicit solutions for the CRRA and CARA utility functions, respectively.