In this paper, we study the problem of simultaneous maximization of the value of expected terminal surplus and, minimization of risks associated with the terminal surplus in a de ned contribution (DC) pension scheme. The surplus, which is discounted, is solved with dynamic programming techniques. The pension plan member (PPM) makes a ow of contributions from his or her stochastic salary into the scheme. The ow of contributions are invested into a market that is characterized by a cash account, an index bond and a stock. The ecient frontier for the discounted and real surplus are obtained. Optimal consumption of the PPM was found to depend on the terminal wealth, random evolution of minimum pension bene t and "variance minimizing" parameter. It was found that as the variance minimizing parameter, tends to zero, the op timal consumption tends to negative in nity. The optimal expected discounted and real surplus, optimal total expected pension bene ts and expected min imum pension bene ts were obtained. We found that the optimal portfolio depends linearly on the random evolution of PPM's minimum bene ts. Some numerical examples of the results are established.
Primary Language  en 

Subjects  Engineering 
Journal Section  Articles 
Authors 

Dates 
Application Date
: July 10, 2014

Bibtex  @research article { konuralpjournalmath444286,
journal = {Konuralp Journal of Mathematics (KJM)},
issn = {},
eissn = {2147625X},
address = {},
publisher = {Mehmet Zeki SARIKAYA},
year = {2015},
volume = {3},
pages = {219  244},
doi = {},
title = {OPTIMAL SURPLUS, MINIMUM PENSION BENEFITS AND CONSUMPTION PLANS IN A MEANVARIANCE PORTFOLIO APPROACH FOR A DEFINED CONTRIBUTION PENSION SCHEME},
key = {cite},
author = {Nkekı, Charles İ.}
} 
APA  Nkekı, C . (2015). OPTIMAL SURPLUS, MINIMUM PENSION BENEFITS AND CONSUMPTION PLANS IN A MEANVARIANCE PORTFOLIO APPROACH FOR A DEFINED CONTRIBUTION PENSION SCHEME . Konuralp Journal of Mathematics (KJM) , 3 (2) , 219244 . Retrieved from https://dergipark.org.tr/en/pub/konuralpjournalmath/issue/27710/444286 
MLA  Nkekı, C . "OPTIMAL SURPLUS, MINIMUM PENSION BENEFITS AND CONSUMPTION PLANS IN A MEANVARIANCE PORTFOLIO APPROACH FOR A DEFINED CONTRIBUTION PENSION SCHEME" . Konuralp Journal of Mathematics (KJM) 3 (2015 ): 219244 <https://dergipark.org.tr/en/pub/konuralpjournalmath/issue/27710/444286> 
Chicago  Nkekı, C . "OPTIMAL SURPLUS, MINIMUM PENSION BENEFITS AND CONSUMPTION PLANS IN A MEANVARIANCE PORTFOLIO APPROACH FOR A DEFINED CONTRIBUTION PENSION SCHEME". Konuralp Journal of Mathematics (KJM) 3 (2015 ): 219244 
RIS  TY  JOUR T1  OPTIMAL SURPLUS, MINIMUM PENSION BENEFITS AND CONSUMPTION PLANS IN A MEANVARIANCE PORTFOLIO APPROACH FOR A DEFINED CONTRIBUTION PENSION SCHEME AU  Charles İ. Nkekı Y1  2015 PY  2015 N1  DO  T2  Konuralp Journal of Mathematics (KJM) JF  Journal JO  JOR SP  219 EP  244 VL  3 IS  2 SN  2147625X M3  UR  Y2  2021 ER  
EndNote  %0 Konuralp Journal of Mathematics OPTIMAL SURPLUS, MINIMUM PENSION BENEFITS AND CONSUMPTION PLANS IN A MEANVARIANCE PORTFOLIO APPROACH FOR A DEFINED CONTRIBUTION PENSION SCHEME %A Charles İ. Nkekı %T OPTIMAL SURPLUS, MINIMUM PENSION BENEFITS AND CONSUMPTION PLANS IN A MEANVARIANCE PORTFOLIO APPROACH FOR A DEFINED CONTRIBUTION PENSION SCHEME %D 2015 %J Konuralp Journal of Mathematics (KJM) %P 2147625X %V 3 %N 2 %R %U 
ISNAD  Nkekı, Charles İ. . "OPTIMAL SURPLUS, MINIMUM PENSION BENEFITS AND CONSUMPTION PLANS IN A MEANVARIANCE PORTFOLIO APPROACH FOR A DEFINED CONTRIBUTION PENSION SCHEME". Konuralp Journal of Mathematics (KJM) 3 / 2 (October 2015): 219244 . 
AMA  Nkekı C . OPTIMAL SURPLUS, MINIMUM PENSION BENEFITS AND CONSUMPTION PLANS IN A MEANVARIANCE PORTFOLIO APPROACH FOR A DEFINED CONTRIBUTION PENSION SCHEME. Konuralp J. Math.. 2015; 3(2): 219244. 
Vancouver  Nkekı C . OPTIMAL SURPLUS, MINIMUM PENSION BENEFITS AND CONSUMPTION PLANS IN A MEANVARIANCE PORTFOLIO APPROACH FOR A DEFINED CONTRIBUTION PENSION SCHEME. Konuralp Journal of Mathematics (KJM). 2015; 3(2): 219244. 
IEEE  C. Nkekı , "OPTIMAL SURPLUS, MINIMUM PENSION BENEFITS AND CONSUMPTION PLANS IN A MEANVARIANCE PORTFOLIO APPROACH FOR A DEFINED CONTRIBUTION PENSION SCHEME", Konuralp Journal of Mathematics (KJM), vol. 3, no. 2, pp. 219244, Oct. 2015 