Optimal control of defined contribution pension plan under uncertain optimistic value criterion

Abstract

This paper studies a dynamic optimal investment decision of defined contribution (DC) pension with inflation. Fund managers invest capital in different assets to minimize the quadratic loss function. Considering financial market complexity and incompleteness of information, we use optimal control under uncertain optimistic value criterion to build an optimal control model for DC pension plan. The equation of optimality for the optimal control problem is used to get the optimal pension investment strategy. Finally, a numerical experiment is given as an illustration. Mathematics Subject Classification: 91G80