Lifetime investment and consumption using a defined-contribution pension scheme
- 作者：Paul Emms paul.emms@kcl.ac.uk
- 关键词：Defined-contribution pension ; Lifecycle model ; Stochastic income ; Replacement ratio
- 刊名：Journal of Economic Dynamics and Control
- 出版年：2012
- 期刊代码：37_01651889
- 类别：eco
- 出版时间：September, 2012
- 卷：36
- 期：9
- 页码：1303-1321
- 文件大小：455 K
摘要
During the accumulation phase of a defined-contribution pension scheme, a scheme member invests part of their stochastic income in a portfolio of a stock and a bond in order to build up sufficient funds for retirement. It is assumed that the remainder of their salary pre-retirement is consumed, an annuity is purchased at retirement, and the stock allocation and consumption pre-retirement maximise the total expected lifetime consumption using a CARA utility function. Perfect correlation between the scheme member's income and the stock price leads to analytical expressions for the controls for a general income model. If the correlation is imperfect then analytical controls are found for two particular stochastic income models.