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

页码：491 / 506

页数：16

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