NEW APPROACH ON MAXIMIZATION OF INVESTMENT PORTFOLIOS FOR A BETTER RENTABILITY IN THE CONTRIBUTIONS
DOI:
https://doi.org/10.18041/1909-2458/ingeniare.30.7926Keywords:
Pension scheme, optimal control plan, return of contributions, game theoretic, interest rateAbstract
In this work, it showed how investment portfolios of a pension scheme are often maximized within the presence of return clause of contributions is presented. This clause permited return of accumulated contributions along side predetermined interest from harmless asset to members’ families whenever death occurs to their relations. Also considered herein are investments in cash, marketable security and loan to extend the entire accumulated funds of the pension scheme left to be distributed among the surviving members such the worth models of marketable security and loan followed geometric Brownian motions. the sport theoretic approach, separation of variable technique and mean variance utility were wont to obtain closed form solutions of the optimal control plans for the assets and therefore the efficient frontier. Next, the consequence of some parameters on the optimal control plans with time is numerically analysed. Furthermore, a theoretical comparison of our result with an existing result was given.
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