Abstract:For the robust optimal investment strategy of Defined Contribution (DC) pension under the influence of inflation, stochastic interest rate, stochastic salary and model uncertainty; firstly, it is assumed that the market consists of three kinds of assets: risk-free assets, rolling bonds and stocks, and the dynamic formulas of these three kinds of assets and stochastic compensation are given. Then the level of inflation is depicted by the consumer price index, and Ito formula is applied to obtain the dynamic formulas of three asset prices and stochastic compensation under the inflation environment. Secondly, by applying Girsanov theorem, the dynamic formulas of stochastic interest rate, three kinds of assets and stochastic compensation under the new measure are obtained, and the wealth process of pension account is obtained. Finally, based on the principle of maximizing expected utility, the robust optimal investment strategy for DC pension is obtained by solving the HJB equation (Hamilton-Jacobi-Bellman equation) using stochastic control theory. The influence of inflation on robust optimal investment strategy is obtained through numerical analysis.