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This work deals with an optimal asset allocation problem for a definedcontribution (DC) pension plan during its accumulation phase. The contributionrate is proportional to the individual's salary, the dynamics of which followsa Heston stochastic volatility model with jumps, and there are common shocksbetween the salary and the volatility. Since the time horizon of pensionmanagement might be long, the influence of inflation is considered in thecontext. The inflation index is subjected to a Poisson jump and a Brownianuncertainty. The pension plan aims to reduce fluctuations of terminal wealth byinvesting the fund in a financial market consisting of a riskless asset and arisky asset. The dynamics of the risky asset is given by a jump diffusionprocess. The closed form of investment decision is derived by the dynamicprogramming approach.

Optimal defined contribution pension management with jump diffusions and common shock dependence