Year 2015, Volume 3 , Issue 2, Pages 219 - 244 2015-10-01

OPTIMAL SURPLUS, MINIMUM PENSION BENEFITS AND CONSUMPTION PLANS IN A MEAN-VARIANCE PORTFOLIO APPROACH FOR A DEFINED CONTRIBUTION PENSION SCHEME

Charles İ. NKEKI [1]


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.

pension scheme, mean-variance, stochastic funding, de ned contribution, ecient frontier, surplus, minimum pension bene ts, optimal consumption
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Primary Language en
Subjects Engineering
Journal Section Articles
Authors

Author: Charles İ. NKEKI (Primary Author)
Country: Nigeria


Dates

Application Date : July 10, 2014
Acceptance Date : January 16, 2021
Publication Date : October 1, 2015

Bibtex @research article { konuralpjournalmath444286, journal = {Konuralp Journal of Mathematics (KJM)}, issn = {}, eissn = {2147-625X}, address = {}, publisher = {Mehmet Zeki SARIKAYA}, year = {2015}, volume = {3}, pages = {219 - 244}, doi = {}, title = {OPTIMAL SURPLUS, MINIMUM PENSION BENEFITS AND CONSUMPTION PLANS IN A MEAN-VARIANCE 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 MEAN-VARIANCE PORTFOLIO APPROACH FOR A DEFINED CONTRIBUTION PENSION SCHEME . Konuralp Journal of Mathematics (KJM) , 3 (2) , 219-244 . 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 MEAN-VARIANCE PORTFOLIO APPROACH FOR A DEFINED CONTRIBUTION PENSION SCHEME" . Konuralp Journal of Mathematics (KJM) 3 (2015 ): 219-244 <https://dergipark.org.tr/en/pub/konuralpjournalmath/issue/27710/444286>
Chicago Nkekı, C . "OPTIMAL SURPLUS, MINIMUM PENSION BENEFITS AND CONSUMPTION PLANS IN A MEAN-VARIANCE PORTFOLIO APPROACH FOR A DEFINED CONTRIBUTION PENSION SCHEME". Konuralp Journal of Mathematics (KJM) 3 (2015 ): 219-244
RIS TY - JOUR T1 - OPTIMAL SURPLUS, MINIMUM PENSION BENEFITS AND CONSUMPTION PLANS IN A MEAN-VARIANCE 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 - -2147-625X M3 - UR - Y2 - 2021 ER -
EndNote %0 Konuralp Journal of Mathematics OPTIMAL SURPLUS, MINIMUM PENSION BENEFITS AND CONSUMPTION PLANS IN A MEAN-VARIANCE PORTFOLIO APPROACH FOR A DEFINED CONTRIBUTION PENSION SCHEME %A Charles İ. Nkekı %T OPTIMAL SURPLUS, MINIMUM PENSION BENEFITS AND CONSUMPTION PLANS IN A MEAN-VARIANCE PORTFOLIO APPROACH FOR A DEFINED CONTRIBUTION PENSION SCHEME %D 2015 %J Konuralp Journal of Mathematics (KJM) %P -2147-625X %V 3 %N 2 %R %U
ISNAD Nkekı, Charles İ. . "OPTIMAL SURPLUS, MINIMUM PENSION BENEFITS AND CONSUMPTION PLANS IN A MEAN-VARIANCE PORTFOLIO APPROACH FOR A DEFINED CONTRIBUTION PENSION SCHEME". Konuralp Journal of Mathematics (KJM) 3 / 2 (October 2015): 219-244 .
AMA Nkekı C . OPTIMAL SURPLUS, MINIMUM PENSION BENEFITS AND CONSUMPTION PLANS IN A MEAN-VARIANCE PORTFOLIO APPROACH FOR A DEFINED CONTRIBUTION PENSION SCHEME. Konuralp J. Math.. 2015; 3(2): 219-244.
Vancouver Nkekı C . OPTIMAL SURPLUS, MINIMUM PENSION BENEFITS AND CONSUMPTION PLANS IN A MEAN-VARIANCE PORTFOLIO APPROACH FOR A DEFINED CONTRIBUTION PENSION SCHEME. Konuralp Journal of Mathematics (KJM). 2015; 3(2): 219-244.
IEEE C. Nkekı , "OPTIMAL SURPLUS, MINIMUM PENSION BENEFITS AND CONSUMPTION PLANS IN A MEAN-VARIANCE PORTFOLIO APPROACH FOR A DEFINED CONTRIBUTION PENSION SCHEME", Konuralp Journal of Mathematics (KJM), vol. 3, no. 2, pp. 219-244, Oct. 2015