Equilibrium Investment Strategy for DC Pension Plan with Inflation and Stochastic Income under Heston’s SV Model

<div>The effect of <svg height="9.39034pt" id="M397" style="vertical-align:-3.42943pt" version="1.1" viewbox="-0.0498162 -5.96091 9.98892 9.39034" width="9.98892pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M538 96L524 119C492 88 454 63 446 63C439 63 434 70 440 101C463 223 491 341 518 448H508L433 422L401 276C355 192 240 56 188 56C163 56 154 89 163 133C184 233 207 338 235 443L230 448L152 424L58 17C40 -60 23 -143 23 -185C23 -241 42 -261 63 -261C92 -261 117 -241 125 -227L124 -221C109 -209 89 -165 89 -103C89 -55 96 -13 105 26H107C121 -3 134 -12 151 -12C172 -12 194 -5 221 16C279 61 330 124 384 194H386C381 159 377 141 368 105C343 3 363 -12 383 -12C416 -12 486 35 538 96Z" id="g113-234"></path><glyph.data ascent="3473" descent="-2876" horiz-adv-x="555" vert-adv-y="555"></glyph.data></g><g transform="matrix(.0091,0,0,-0.0091,6.89,3.132)"><path d="M238 675C244 702 241 710 231 710C220 710 155 682 74 673L70 643H101C147 643 151 635 142 594L39 111C18 11 36 -12 55 -12C89 -12 170 38 223 103L207 129C176 98 130 68 118 68C113 68 108 72 114 102L238 675Z" id="g50-109"></path><glyph.data ascent="3443" descent="-2856" horiz-adv-x="271" vert-adv-y="271"></glyph.data></g></svg> on efficient frontier.</div>

Mathematical Problems in Engineering

fig9

Figure 9

Figure 9: Equilibrium Investment Strategy for DC Pension Plan with Inflation and Stochastic Income under Heston’s SV Model 