WASET
	@article{(Open Science Index):https://publications.waset.org/pdf/10012839,
	  title     = {Modelling an Investment Portfolio with Mandatory and Voluntary Contributions under M-CEV Model},
	  author    = {Amadi Ugwulo Chinyere and  Lewis D. Gbarayorks and  Emem N. H. Inamete},
	  country	= {},
	  institution	= {},
	  abstract     = {In this paper, the mandatory contribution, additional voluntary contribution (AVC) and administrative charges are merged together to determine the optimal investment strategy (OIS) for a pension plan member (PPM) in a defined contribution (DC) pension scheme under the modified constant elasticity of variance (M-CEV) model. We assume that the voluntary contribution is a stochastic process and a portfolio consisting of one risk free asset and one risky asset modeled by the M-CEV model is considered. Also, a stochastic differential equation consisting of PPM’s monthly contributions, voluntary contributions and administrative charges is obtained. More so, an optimization problem in the form of Hamilton Jacobi Bellman equation which is a nonlinear partial differential equation is obtained. Using power transformation and change of variables method, an explicit solution of the OIS and the value function are obtained under constant absolute risk averse (CARA). Furthermore, numerical simulations on the impact of some sensitive parameters on OIS were discussed extensively. Finally, our result generalizes some existing result in the literature.},
	    journal   = {International Journal of Physical and Mathematical Sciences},
	  volume    = {16},
	  number    = {12},
	  year      = {2022},
	  pages     = {120 - 125},
	  ee        = {https://publications.waset.org/pdf/10012839},
	  url   	= {https://publications.waset.org/vol/192},
	  bibsource = {https://publications.waset.org/},
	  issn  	= {eISSN: 1307-6892},
	  publisher = {World Academy of Science, Engineering and Technology},
	  index 	= {Open Science Index 192, 2022},
	}