Optimal investment and payment strategies for target benefit pension plans under a CEV model
In this paper,the optimal investment and benefit payment strategies for target benefit pen-sion plans are considered.The pension payments depend on the financial situation of the plan with risk sharing between different generations.The surplus of pension fund is invested in both a risk-free asset and multiple risky assets whose price is described by a constant elasticity of variance(CEV)model instead of a geometric Brownian motion.With the objective of minimizing the combination of return risk and welfare risk,the closed-form solutions of the optimal investment strategy and optimal welfare adjustment are de-rived by the principles of dynamic programming and the HJB equation.
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