Optimal Investment Strategy for DC Pension Plan with Stochastic Income and Inflation Risk under the Ornstein–Uhlenbeck Model

This paper is concerned with the optimal investment strategy for a defined contribution (DC) pension plan. We assumed that financial market consists of risk-free asset and risky asset, where subject to Ornstein–Uhlenbeck (O-U) process, stochastic income inflation risk were also considered in model. firstly derived Hamilton–Jacobi–Bellman (HJB) equation through control method. Secondly, under logarithmic utility function, closed-form solution allocation was obtained by using Legendre transform Finally, we give several numerical examples analysis.