Author(s): Charles I. Nkeki
Journal: Theory and Applications of Mathematics & Computer Science
ISSN 2067-2764
Volume: 2;
Issue: 2;
Start page: 67;
Date: 2012;
Original page
Keywords: Mean-variance | inflation hedging | defined contribution | efficient frontier | optimal utility | expected
ABSTRACT
In this paper, we consider a mean-variance portfolio selection problem with inflation hedging strategy for a defined contributory pension scheme. We establish the optimal wealth which involves a cash account and two risky assets for the pension plan member (PPM). The ecient frontier is obtained for the three asset classes which gives the PPM the opportunity to decide his or her own risk and wealth. It was found that inflation-linked bond is a suitableasset for hedging inflation risks in an investment portfolio.
Journal: Theory and Applications of Mathematics & Computer Science
ISSN 2067-2764
Volume: 2;
Issue: 2;
Start page: 67;
Date: 2012;
Original page
Keywords: Mean-variance | inflation hedging | defined contribution | efficient frontier | optimal utility | expected
ABSTRACT
In this paper, we consider a mean-variance portfolio selection problem with inflation hedging strategy for a defined contributory pension scheme. We establish the optimal wealth which involves a cash account and two risky assets for the pension plan member (PPM). The ecient frontier is obtained for the three asset classes which gives the PPM the opportunity to decide his or her own risk and wealth. It was found that inflation-linked bond is a suitableasset for hedging inflation risks in an investment portfolio.