Optimal Investment Problem for DC Pension Plan with the Death and Disability Return Clause under HARA Utility
This paper considers the optimal investment problem of a DC pension plan with death and disability re-turns.Taking the utility maximization problem of terminal wealth expectation as the goal,the corresponding Ham-ilton Jacobi Bellman(HJB)equation is established by using the principle of dynamic programming.The optimal solution is obtained under the Hyperbolic Absolute Risk Aversion(HARA)utility function,and the impact of im-portant parameters on the optimal investment strategy is analyzed through numerical simulation.
DC pension modeldeath returndisability returnHARA utilityHJB equation
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