OPTIMAL PORTFOLIOS FOR THE DC PENSION FUND WITH MISPRICING UNDER THE HARA UTILITY FRAMEWORK

被引：3
|
作者：
Liu, Zilan [1 ]
Wang, Yijun [2 ]
Huang, Ya [1 ]
Zhou, Jieming [3 ]
机构：
[1] Hunan Normal Univ, Sch Business, Changsha 410081, Peoples R China
[2] Hunan Normal Univ, Sch Math & Stat, MOE LCSM, Changsha 410081, Peoples R China
[3] Hunan Normal Univ, Key Lab Appl Stat & Data Sci, Coll Hunan Prov, Changsha 410081, Peoples R China
来源：
JOURNAL OF INDUSTRIAL AND MANAGEMENT OPTIMIZATION | 2023年 / 19卷 / 02期
关键词：
DC pension fund; mispricing; HARA utility; HJB equation; DEFINED-CONTRIBUTION PENSION; EQUILIBRIUM INVESTMENT STRATEGY; STOCHASTIC INTEREST-RATE; CONSTANT ELASTICITY; OPTIMAL MANAGEMENT; PREMIUMS CLAUSES; ASSET ALLOCATION; PLAN; RETURN; REINSURANCE;
D O I：
10.3934/jimo.2021228
中图分类号：
T [工业技术];
学科分类号：
08 ;
摘要：
This paper studies the optimal portfolio selection for defined contribution (DC) pension fund with mispricing. We adopt the general hyperbolic absolute risk averse (HARA) utility to describe the risk performance of the pension fund managers. The financial market comprises a risk-free asset, a pair of mispriced stocks, and the market index. Using the dynamic programming approach, we construct the Hamilton-Jacobi-Bellman (HJB) equation and obtain the explicit expressions for optimal portfolio choices with two methods. Finally, numerical analysis is presented to illustrate the sensitivity of the optimal portfolios to parameters of the financial market and contribution process. 200 words.
引用
收藏
页码：1262 / 1281
页数：20
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