Proceedings of the 2025 4th International Conference on Mathematical Statistics and Economic Analysis (MSEA 2025)

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Optimal Investment Strategy and Optimal Delay Retirement Time for DC Pension

Authors
Kaiwen Guo1, Zhongyi Guo1, Xue Zhang1, Jinggui Gao1, *
1College of Mathematics and Systems Science, Shandong University of Science and Technology, Qingdao, 266590, China
*Corresponding author. Email: jingguigao@126.com
Corresponding Author
Jinggui Gao
Available Online 20 February 2026.
DOI
10.2991/978-94-6463-992-6_16How to use a DOI?
Keywords
DC pension; optimal delay retirement time; stochastic optimal control problem; time-scaling transformation; Markov chain approximation
Abstract

This article focuses on the optimal investment strategy and optimal delayed retirement time for DC pension. In the early stage of the research, a stochastic differential equation with free termination time was constructed to characterize the asset accumulation process under unknown retirement time. On this basis, a stochastic optimal control problem containing free terminal time is proposed, where the delayed retirement time is used as the control parameter and the investment strategy is the control function. To solve the optimal solution of the optimization model, the study transforms the stochastic optimal control problem with free terminal time into a problem with terminal time determination through time scale transformation. Subsequently, an improved numerical algorithm was designed by combining Markov chain approximation, reverse iteration technique, and Monte Carlo method to solve the stochastic optimal control problem with terminal time determination. Finally, the feasibility of the proposed numerical algorithm was verified through numerical simulation, and the simulation results also confirmed the effectiveness of the algorithm.

Copyright
© 2026 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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Volume Title
Proceedings of the 2025 4th International Conference on Mathematical Statistics and Economic Analysis (MSEA 2025)
Series
Advances in Economics, Business and Management Research
Publication Date
20 February 2026
ISBN
978-94-6463-992-6
ISSN
2352-5428
DOI
10.2991/978-94-6463-992-6_16How to use a DOI?
Copyright
© 2026 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

Cite this article

risenwbib
TY  - CONF
AU  - Kaiwen Guo
AU  - Zhongyi Guo
AU  - Xue Zhang
AU  - Jinggui Gao
PY  - 2026
DA  - 2026/02/20
TI  - Optimal Investment Strategy and Optimal Delay Retirement Time for DC Pension
BT  - Proceedings of the 2025 4th International Conference on Mathematical Statistics and Economic Analysis (MSEA 2025)
PB  - Atlantis Press
SP  - 147
EP  - 156
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6463-992-6_16
DO  - 10.2991/978-94-6463-992-6_16
ID  - Guo2026
ER  -