{"id":"https://openalex.org/W4289986009","doi":"https://doi.org/10.3390/axioms11080382","title":"Optimal Investment Strategy for DC Pension Plan with Deposit Loan Spread under the CEV Model","display_name":"Optimal Investment Strategy for DC Pension Plan with Deposit Loan Spread under the CEV Model","publication_year":2022,"publication_date":"2022-08-04","ids":{"openalex":"https://openalex.org/W4289986009","doi":"https://doi.org/10.3390/axioms11080382"},"language":"en","primary_location":{"id":"doi:10.3390/axioms11080382","is_oa":true,"landing_page_url":"https://doi.org/10.3390/axioms11080382","pdf_url":"https://www.mdpi.com/2075-1680/11/8/382/pdf?version=1661320864","source":{"id":"https://openalex.org/S4210173132","display_name":"Axioms","issn_l":"2075-1680","issn":["2075-1680"],"is_oa":true,"is_in_doaj":true,"is_core":true,"host_organization":"https://openalex.org/P4310310987","host_organization_name":"Multidisciplinary Digital Publishing Institute","host_organization_lineage":["https://openalex.org/P4310310987"],"host_organization_lineage_names":["Multidisciplinary Digital Publishing Institute"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Axioms","raw_type":"journal-article"},"type":"article","indexed_in":["crossref","doaj"],"open_access":{"is_oa":true,"oa_status":"gold","oa_url":"https://www.mdpi.com/2075-1680/11/8/382/pdf?version=1661320864","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5101881508","display_name":"Yang Wang","orcid":"https://orcid.org/0009-0004-3670-1244"},"institutions":[{"id":"https://openalex.org/I21945476","display_name":"Shanghai Normal University","ror":"https://ror.org/01cxqmw89","country_code":"CN","type":"education","lineage":["https://openalex.org/I21945476"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Yang Wang","raw_affiliation_strings":["School of Finance and Business, Shanghai Normal University, Shanghai 200234, China"],"affiliations":[{"raw_affiliation_string":"School of Finance and Business, Shanghai Normal University, Shanghai 200234, China","institution_ids":["https://openalex.org/I21945476"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5103659095","display_name":"Xiao Xu","orcid":"https://orcid.org/0000-0002-9136-8980"},"institutions":[{"id":"https://openalex.org/I204983213","display_name":"Harbin Institute of Technology","ror":"https://ror.org/01yqg2h08","country_code":"CN","type":"education","lineage":["https://openalex.org/I204983213"]}],"countries":["CN"],"is_corresponding":true,"raw_author_name":"Xiao Xu","raw_affiliation_strings":["Department of Mathematics, Harbin Institute of Technology, Weihai 264209, China"],"affiliations":[{"raw_affiliation_string":"Department of Mathematics, Harbin Institute of Technology, Weihai 264209, China","institution_ids":["https://openalex.org/I204983213"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5043432751","display_name":"Jizhou Zhang","orcid":"https://orcid.org/0000-0002-1015-0534"},"institutions":[{"id":"https://openalex.org/I21945476","display_name":"Shanghai Normal University","ror":"https://ror.org/01cxqmw89","country_code":"CN","type":"education","lineage":["https://openalex.org/I21945476"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Jizhou Zhang","raw_affiliation_strings":["School of Finance and Business, Shanghai Normal University, Shanghai 200234, China"],"affiliations":[{"raw_affiliation_string":"School of Finance and Business, Shanghai Normal University, Shanghai 200234, China","institution_ids":["https://openalex.org/I21945476"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5103659095"],"corresponding_institution_ids":["https://openalex.org/I204983213"],"apc_list":{"value":1400,"currency":"CHF","value_usd":1515},"apc_paid":{"value":1400,"currency":"CHF","value_usd":1515},"fwci":0.4192,"has_fulltext":true,"cited_by_count":2,"citation_normalized_percentile":{"value":0.64221345,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":94,"max":96},"biblio":{"volume":"11","issue":"8","first_page":"382","last_page":"382"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9965000152587891,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9965000152587891,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12011","display_name":"Insurance, Mortality, Demography, Risk Management","score":0.994700014591217,"subfield":{"id":"https://openalex.org/subfields/3317","display_name":"Demography"},"field":{"id":"https://openalex.org/fields/33","display_name":"Social Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10517","display_name":"Financial Literacy, Pension, Retirement Analysis","score":0.9911999702453613,"subfield":{"id":"https://openalex.org/subfields/1402","display_name":"Accounting"},"field":{"id":"https://openalex.org/fields/14","display_name":"Business, Management and Accounting"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/loan","display_name":"Loan","score":0.7019575238227844},{"id":"https://openalex.org/keywords/hamilton\u2013jacobi\u2013bellman-equation","display_name":"Hamilton\u2013Jacobi\u2013Bellman equation","score":0.6347666382789612},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.5580998063087463},{"id":"https://openalex.org/keywords/pension","display_name":"Pension","score":0.5496026277542114},{"id":"https://openalex.org/keywords/constant-elasticity-of-variance-model","display_name":"Constant elasticity of variance model","score":0.4817643165588379},{"id":"https://openalex.org/keywords/investment","display_name":"Investment (military)","score":0.4473872184753418},{"id":"https://openalex.org/keywords/financial-market","display_name":"Financial market","score":0.4360814094543457},{"id":"https://openalex.org/keywords/legendre-transformation","display_name":"Legendre transformation","score":0.43084433674812317},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.4173493981361389},{"id":"https://openalex.org/keywords/actuarial-science","display_name":"Actuarial science","score":0.4119536280632019},{"id":"https://openalex.org/keywords/microeconomics","display_name":"Microeconomics","score":0.3269084095954895},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.27270933985710144},{"id":"https://openalex.org/keywords/mathematical-economics","display_name":"Mathematical economics","score":0.1856662929058075},{"id":"https://openalex.org/keywords/bellman-equation","display_name":"Bellman equation","score":0.15727975964546204},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.15441793203353882},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.10394507646560669}],"concepts":[{"id":"https://openalex.org/C2777764128","wikidata":"https://www.wikidata.org/wiki/Q189539","display_name":"Loan","level":2,"score":0.7019575238227844},{"id":"https://openalex.org/C196978813","wikidata":"https://www.wikidata.org/wiki/Q3302775","display_name":"Hamilton\u2013Jacobi\u2013Bellman equation","level":3,"score":0.6347666382789612},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.5580998063087463},{"id":"https://openalex.org/C2780899237","wikidata":"https://www.wikidata.org/wiki/Q156223","display_name":"Pension","level":2,"score":0.5496026277542114},{"id":"https://openalex.org/C64133820","wikidata":"https://www.wikidata.org/wiki/Q5163651","display_name":"Constant elasticity of variance model","level":5,"score":0.4817643165588379},{"id":"https://openalex.org/C27548731","wikidata":"https://www.wikidata.org/wiki/Q88272","display_name":"Investment (military)","level":3,"score":0.4473872184753418},{"id":"https://openalex.org/C19244329","wikidata":"https://www.wikidata.org/wiki/Q208697","display_name":"Financial market","level":2,"score":0.4360814094543457},{"id":"https://openalex.org/C116594300","wikidata":"https://www.wikidata.org/wiki/Q908652","display_name":"Legendre transformation","level":2,"score":0.43084433674812317},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.4173493981361389},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.4119536280632019},{"id":"https://openalex.org/C175444787","wikidata":"https://www.wikidata.org/wiki/Q39072","display_name":"Microeconomics","level":1,"score":0.3269084095954895},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.27270933985710144},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.1856662929058075},{"id":"https://openalex.org/C14646407","wikidata":"https://www.wikidata.org/wiki/Q1430750","display_name":"Bellman equation","level":2,"score":0.15727975964546204},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.15441793203353882},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.10394507646560669},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.0},{"id":"https://openalex.org/C199539241","wikidata":"https://www.wikidata.org/wiki/Q7748","display_name":"Law","level":1,"score":0.0},{"id":"https://openalex.org/C187625094","wikidata":"https://www.wikidata.org/wiki/Q7388452","display_name":"SABR volatility model","level":4,"score":0.0},{"id":"https://openalex.org/C17744445","wikidata":"https://www.wikidata.org/wiki/Q36442","display_name":"Political science","level":0,"score":0.0},{"id":"https://openalex.org/C94625758","wikidata":"https://www.wikidata.org/wiki/Q7163","display_name":"Politics","level":2,"score":0.0},{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.3390/axioms11080382","is_oa":true,"landing_page_url":"https://doi.org/10.3390/axioms11080382","pdf_url":"https://www.mdpi.com/2075-1680/11/8/382/pdf?version=1661320864","source":{"id":"https://openalex.org/S4210173132","display_name":"Axioms","issn_l":"2075-1680","issn":["2075-1680"],"is_oa":true,"is_in_doaj":true,"is_core":true,"host_organization":"https://openalex.org/P4310310987","host_organization_name":"Multidisciplinary Digital Publishing Institute","host_organization_lineage":["https://openalex.org/P4310310987"],"host_organization_lineage_names":["Multidisciplinary Digital Publishing Institute"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Axioms","raw_type":"journal-article"},{"id":"pmh:oai:doaj.org/article:4b071f59422742108df8190127d60200","is_oa":true,"landing_page_url":"https://doaj.org/article/4b071f59422742108df8190127d60200","pdf_url":null,"source":{"id":"https://openalex.org/S112646816","display_name":"SHILAP Revista de lepidopterolog\u00eda","issn_l":"0300-5267","issn":["0300-5267","2340-4078"],"is_oa":true,"is_in_doaj":true,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Axioms, Vol 11, Iss 8, p 382 (2022)","raw_type":"article"},{"id":"pmh:oai:mdpi.com:/2075-1680/11/8/382/","is_oa":true,"landing_page_url":"https://dx.doi.org/10.3390/axioms11080382","pdf_url":null,"source":{"id":"https://openalex.org/S4306400947","display_name":"MDPI (MDPI AG)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I4210097602","host_organization_name":"Multidisciplinary Digital Publishing Institute (Switzerland)","host_organization_lineage":["https://openalex.org/I4210097602"],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Axioms; Volume 11; Issue 8; Pages: 382","raw_type":"Text"}],"best_oa_location":{"id":"doi:10.3390/axioms11080382","is_oa":true,"landing_page_url":"https://doi.org/10.3390/axioms11080382","pdf_url":"https://www.mdpi.com/2075-1680/11/8/382/pdf?version=1661320864","source":{"id":"https://openalex.org/S4210173132","display_name":"Axioms","issn_l":"2075-1680","issn":["2075-1680"],"is_oa":true,"is_in_doaj":true,"is_core":true,"host_organization":"https://openalex.org/P4310310987","host_organization_name":"Multidisciplinary Digital Publishing Institute","host_organization_lineage":["https://openalex.org/P4310310987"],"host_organization_lineage_names":["Multidisciplinary Digital Publishing Institute"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Axioms","raw_type":"journal-article"},"sustainable_development_goals":[{"score":0.4699999988079071,"id":"https://metadata.un.org/sdg/17","display_name":"Partnerships for the goals"}],"awards":[{"id":"https://openalex.org/G2884910486","display_name":null,"funder_award_id":"Technology","funder_id":"https://openalex.org/F4320322724","funder_display_name":"Ministry of Education, India"}],"funders":[{"id":"https://openalex.org/F4320322724","display_name":"Ministry of Education, India","ror":"https://ror.org/048xjjh50"}],"has_content":{"pdf":true,"grobid_xml":true},"content_urls":{"pdf":"https://content.openalex.org/works/W4289986009.pdf","grobid_xml":"https://content.openalex.org/works/W4289986009.grobid-xml"},"referenced_works_count":46,"referenced_works":["https://openalex.org/W641349311","https://openalex.org/W1947002938","https://openalex.org/W1972115786","https://openalex.org/W1980563255","https://openalex.org/W1987528389","https://openalex.org/W1990932932","https://openalex.org/W2018580693","https://openalex.org/W2022593559","https://openalex.org/W2064561530","https://openalex.org/W2065290976","https://openalex.org/W2066476153","https://openalex.org/W2067978582","https://openalex.org/W2080032616","https://openalex.org/W2124640999","https://openalex.org/W2146541388","https://openalex.org/W2175103811","https://openalex.org/W2412841086","https://openalex.org/W2426233213","https://openalex.org/W2538871299","https://openalex.org/W2773889661","https://openalex.org/W2790861401","https://openalex.org/W2807750174","https://openalex.org/W2890363063","https://openalex.org/W2896243619","https://openalex.org/W2907227994","https://openalex.org/W2940833762","https://openalex.org/W2964079107","https://openalex.org/W2970614095","https://openalex.org/W2973224789","https://openalex.org/W2980043515","https://openalex.org/W2986634107","https://openalex.org/W3012006523","https://openalex.org/W3015811086","https://openalex.org/W3024633863","https://openalex.org/W3046374420","https://openalex.org/W3124441856","https://openalex.org/W3125859620","https://openalex.org/W3181498587","https://openalex.org/W3206538374","https://openalex.org/W4233575327","https://openalex.org/W6766141584","https://openalex.org/W6775352130","https://openalex.org/W6781235125","https://openalex.org/W6802226311","https://openalex.org/W6807091881","https://openalex.org/W6903479689"],"related_works":["https://openalex.org/W2358967034","https://openalex.org/W2155717523","https://openalex.org/W2082833811","https://openalex.org/W2748593462","https://openalex.org/W2380662238","https://openalex.org/W1980563255","https://openalex.org/W2037625795","https://openalex.org/W2952449918","https://openalex.org/W2910456719","https://openalex.org/W2983952415"],"abstract_inverted_index":{"This":[0],"paper":[1,56],"is":[2,57,121,138,164],"devoted":[3],"to":[4,58,150],"determining":[5],"an":[6],"optimal":[7,135,161],"investment":[8,69,136,162,179],"strategy":[9,137,163,180],"for":[10,133],"a":[11,73,76,84,174],"defined-contribution":[12],"(DC)":[13],"pension":[14,68,183],"plan":[15],"with":[16],"deposit":[17,63,170],"loan":[18,64,85,171],"spread":[19,65,172],"under":[20],"the":[21,36,45,60,87,94,98,107,116,126,134,141,152,156,160,169,178],"constant":[22],"elasticity":[23],"of":[24,54,62,110,125,159,181],"variance":[25],"(CEV)":[26],"model.":[27],"As":[28],"far":[29],"as":[30],"we":[31,90],"know,":[32],"few":[33],"studies":[34],"in":[35,48,86,105],"literature":[37],"have":[38],"taken":[39],"loans":[40],"into":[41],"account":[42],"when":[43],"using":[44,140],"CEV":[46,81],"model":[47],"financial":[49,88,157],"market":[50,100],"contexts.":[51],"The":[52,130],"contribution":[53],"this":[55],"study":[59],"impact":[61,176],"on":[66,177],"DC":[67,182],"strategy.":[70],"By":[71],"considering":[72],"risk-free":[74],"asset,":[75],"risky":[77],"asset":[78,99],"driven":[79],"by":[80,123],"model,":[82,101],"and":[83,97,155],"market,":[89],"first":[91],"set":[92],"up":[93],"dynamic":[95,127],"equation":[96,120],"which":[102],"are":[103,148],"instrumental":[104],"achieving":[106],"expected":[108],"utility":[109],"ultimate":[111],"wealth":[112],"at":[113],"retirement.":[114],"Second,":[115],"corresponding":[117],"Hamilton\u2013Jacobi\u2013Bellman":[118],"(HJB)":[119],"derived":[122],"means":[124],"programming":[128],"principle.":[129],"explicit":[131,153],"expression":[132],"obtained":[139],"Legendre":[142],"transform":[143],"method.":[144],"Finally,":[145],"different":[146],"parameters":[147],"selected":[149],"simulate":[151],"solution,":[154],"interpretation":[158],"provided.":[165],"We":[166],"find":[167],"that":[168],"has":[173],"great":[175],"plans.":[184]},"counts_by_year":[{"year":2024,"cited_by_count":2}],"updated_date":"2026-04-10T15:06:20.359241","created_date":"2025-10-10T00:00:00"}
