ABSTRACT
This chapter investigates an optimal investment problem faced by a de ned contribution (DC) pension fund manager under in ationary risk. It is assumed that a representative member of a DC pension plan contributes a xed share of his salary to the pension fund during the time horizon [0,T]. e pension contributions are invested continuously in a risk-free bond, an index bond, and a stock. e objective is to maximize the expected utility of the terminal value of the pension fund. By solving this investment problem, we present a way to deal with the optimization problem, in case there is an (positive) endowment (or contribution), using the martingale method.
