Optimal investment for DC pension under the affine interest rate model.

The paper studied the optimal investment strategies of DC pension under the affine interest rate model (including the CIR model and the Vasicek model). In our model, the pension fund was allowed to invest in a risk-free asset, a zero-coupon bond and a single risky asset. By applying the Hamilton-Jacobi-Bellman equation, Legendre transform and dual theory, found the explicit solutions for the CRRA and CARA utility functions, respectively. [ABSTRACT FROM AUTHOR]