Login New user?  
01-Applied Mathematics & Information Sciences
An International Journal
               
 
 
 
 
 
 
 
 
 
 
 
 
 

Content
 

Volumes > Volume 07 > No. 2

 
   

Stochastic Optimal Control of DC Pension Fund under the Fractional Brownian Motion

PP: 571-578
Author(s)
Jianwei Gao,
Abstract
This paper considers that the goal of the fund manager is to minimize the expected utility loss function, and the noises involved with the dynamics of some wealth are fractional Brownian motions with short-ranged dependence. By applying Hamilton and Lagrange multiplier, the stochastic optimal control problem is converted into non-random optimization. Furthermore, based on deterministic optimal control principle, it obtains the explicit solution of the optimal strategies via moment equations. Finally, it presents a simulation to analyze the dynamic behaviour of the optimal portfolio strategy influenced by the orders of fractional Brownian motions.

  Home   About us   News   Journals   Conferences Contact us Copyright naturalspublishing.com. All Rights Reserved