On Application of Matlab on Efficient Portfolio Management for a Pension Plan in the Presence of Uneven Distributions of Accumulated Wealth

Main Article Content

Obasi, Emmanuela C. M.
Akpanibah, Edikan E.


In this paper, we solved the problem encountered by a pension plan member whose portfolio is made up of one risk free asset and three risky assets for the optimal investment plan with return clause and uneven distributions of the remaining accumulated wealth. Using mean variance utility function as our objective function, we formulate our problem as a continuous-time mean–variance stochastic optimal control problem. Next, we used the variational inequalities methods to transform our problem into Markovian time inconsistent stochastic control, to determine the optimal investment plan and the efficient frontier of the plan member. Using mat lab software, we obtain numerical simulations of the optimal investment plan with respect to time and compare our results with an existing result.

DC pension plan, mat lab, optimal investment plan, simulations, variational inequalities, return clause, mean variance utility.

Article Details

How to Cite
Emmanuela C. M., O., & Edikan E., A. (2020). On Application of Matlab on Efficient Portfolio Management for a Pension Plan in the Presence of Uneven Distributions of Accumulated Wealth. Asian Journal of Probability and Statistics, 6(1), 43-54. https://doi.org/10.9734/ajpas/2020/v6i130153
Original Research Article


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