Among the ways people plan for their retirement is taking pension policy. It becomes imperative to study Finite Horizon Lifecycle Investment for Pension Funds with Constant Rate of Return and Transaction Costs. This paper investigates a Constant Relative Risk Aversion (CRRA) investor as a representative of pension plan participants, who has a finite investment horizon and is subject to the transaction costs and a constant rate of return. The investorâ��s utility is aimed at being maximized by trading between stock and money market account. Partial differential equations are derived and closed form solution obtained. The effects of the volatility of the risky asset are investigated and it shows: s_1 (t)=0 for for �µ-r=-? and ?=(?-1)�µ+?,f(h)=f(0)=0. Also, s_1=1 if ?=1, and �µ-r=1-?,f(h)=f(8)=8. Precise conditions are obtained which determine the growth rate of the value function in the sell and buy regions.
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