Optimal investment of DC pension plan based on a weighted utility

被引：0
|
作者：
Dong, Yinghui [1 ]
Zhang, Yedan [2 ]
Hua, Chunrong [3 ]
Yin, Zihan [4 ]
机构：
[1] Suzhou Univ Sci & Technol, Dept Math, Suzhou 215009, Peoples R China
[2] Suzhou Univ Sci & Technol, Sch Business, Suzhou 215009, Peoples R China
[3] Changshu Inst Technol, Dept Math & Stat, Changshu, Peoples R China
[4] Suzhou Univ Sci & Technol, Sch Math, Suzhou 215009, Peoples R China
来源：
ITALIAN JOURNAL OF PURE AND APPLIED MATHEMATICS | 2022年 / 48期
关键词：
DC pension plan; weighted utility; non -concave utility; concavification; OPTIMAL PORTFOLIO CHOICE; PROSPECT-THEORY; MANAGEMENT;
D O I：
暂无
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
We investigate the DC pension manager's portfolio problem when he bases decisions on both absolute level of total wealth and comparisons to a certain pre-defined reference point. This setting leads to a non-concave objective utility and therefore a solve the non-concave optimization problem and obtain the closed-form representations of the optimal wealth process and the optimal strategies. Numerical results show that if over gains.
引用
收藏
页码：491 / 506
页数：16
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