{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,11,2]],"date-time":"2025-11-02T05:14:47Z","timestamp":1762060487086,"version":"build-2065373602"},"reference-count":43,"publisher":"MDPI AG","issue":"8","license":[{"start":{"date-parts":[[2022,8,4]],"date-time":"2022-08-04T00:00:00Z","timestamp":1659571200000},"content-version":"vor","delay-in-days":0,"URL":"https:\/\/creativecommons.org\/licenses\/by\/4.0\/"}],"funder":[{"name":"National Natural Science Foundation for Young Scientists of China","award":["11701377","18YJAZH127","21692108000"],"award-info":[{"award-number":["11701377","18YJAZH127","21692108000"]}]},{"name":"the MOE (Ministry of Education in China) Project of Humanities and Social Sciences","award":["11701377","18YJAZH127","21692108000"],"award-info":[{"award-number":["11701377","18YJAZH127","21692108000"]}]},{"name":"Shanghai Soft Science key Foundation \u201cScience-Technology Innovation Action","award":["11701377","18YJAZH127","21692108000"],"award-info":[{"award-number":["11701377","18YJAZH127","21692108000"]}]}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Axioms"],"abstract":"<jats:p>This paper is devoted to determining an optimal investment strategy for a defined-contribution (DC) pension plan with deposit loan spread under the constant elasticity of variance (CEV) model. As far as we know, few studies in the literature have taken loans into account when using the CEV model in financial market contexts. The contribution of this paper is to study the impact of deposit loan spread on DC pension investment strategy. By considering a risk-free asset, a risky asset driven by CEV model, and a loan in the financial market, we first set up the dynamic equation and the asset market model, which are instrumental in achieving the expected utility of ultimate wealth at retirement. Second, the corresponding Hamilton\u2013Jacobi\u2013Bellman (HJB) equation is derived by means of the dynamic programming principle. The explicit expression for the optimal investment strategy is obtained using the Legendre transform method. Finally, different parameters are selected to simulate the explicit solution, and the financial interpretation of the optimal investment strategy is provided. We find that the deposit loan spread has a great impact on the investment strategy of DC pension plans.<\/jats:p>","DOI":"10.3390\/axioms11080382","type":"journal-article","created":{"date-parts":[[2022,8,4]],"date-time":"2022-08-04T21:52:48Z","timestamp":1659649968000},"page":"382","update-policy":"https:\/\/doi.org\/10.3390\/mdpi_crossmark_policy","source":"Crossref","is-referenced-by-count":2,"title":["Optimal Investment Strategy for DC Pension Plan with Deposit Loan Spread under the CEV Model"],"prefix":"10.3390","volume":"11","author":[{"ORCID":"https:\/\/orcid.org\/0000-0003-2753-3213","authenticated-orcid":false,"given":"Yang","family":"Wang","sequence":"first","affiliation":[{"name":"School of Finance and Business, Shanghai Normal University, Shanghai 200234, China"}]},{"given":"Xiao","family":"Xu","sequence":"additional","affiliation":[{"name":"Department of Mathematics, Harbin Institute of Technology, Weihai 264209, China"}]},{"given":"Jizhou","family":"Zhang","sequence":"additional","affiliation":[{"name":"School of Finance and Business, Shanghai Normal University, Shanghai 200234, China"}]}],"member":"1968","published-online":{"date-parts":[[2022,8,4]]},"reference":[{"key":"ref_1","first-page":"77","article-title":"Portfolio selection","volume":"7","author":"Markowitz","year":"1952","journal-title":"J. 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