The Investment Strategy in a Defined Contribution Pension Scheme during the Distribution Phase (ID: 6-026)

摘要

In a defined contribution pension scheme, the ways of drawing the fund and the investment problem faced by the member after retirement are considered. Two distribution programmes are presented: one is to buy an annuity immediately at retirement; the other in which the member is allowed to invest is allowed to buy an annuity a period of time after retirement. For programme II, a model of two risky assets is established. Dynamic plan theory and stochastic optimal control theory are used to obtain the optimal investment strategies. The first-order stochastic Runge-Kutta model is applied to simulate programme II and comparison between two programmes is made. When the model is simplified to containing an asset of having no risk, it is verified that the simulation results are correlated closely with the Sharpe ratio of risky asset. While it is found that under the condition of two risky assets, the simulation results do not depend on the quality of risky assets.