Exact and explicit analytical solutions for optimal pension management with general utilities.

This paper considers the optimal management for both the defined-contribution (DC) and defined-benefit (DB) pension plans in a continuous time framework. In particular, analytical solutions for both plans with general utility functions are derived for the first time. The current solutions are written in the form of Taylor series expansions and constructed through the homotopy analysis method (HAM). It is theoretically shown that the series solutions, if convergent, are indeed the exact solutions of the nonlinear HJB equations arising from the optimal pension fund management. Numerical experiments are presented to demonstrate the accuracy and versatility of the current solution approach. [ABSTRACT FROM AUTHOR]