Optimal management of DC pension plan under loss aversion and Value-at-Risk constraints

Guan, Guohui; Liang, Zongxia

doi:10.1016/j.insmatheco.2016.05.014

Cited by 54 publications

(27 citation statements)

References 32 publications

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“…However, this generalization leads to a nonlinear dual HJB equation which is equally difficult to solve as the primal HJB equation. Guan and Liang (2016); when there is only PI constraint, the optimal terminal wealth has the same form as (27) in Chen et al (2017). Therefore, extending Guan and Liang (2016)…”

Section: Proposition 37mentioning

confidence: 98%

Optimal investment of DC pension plan under short-selling constraints and portfolio insurance

Dong

Zheng

2019

Insurance: Mathematics and Economics

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In this paper we investigate an optimal investment problem under short-selling and portfolio insurance constraints faced by a defined contribution pension fund manager who is loss averse. The financial market consists of a cash bond, an indexed bond and a stock. The manager aims to maximize the expected S-shaped utility of the terminal wealth exceeding a minimum guarantee. We apply the dual control method to solve the problem and derive the representations of the optimal wealth process and trading strategies in terms of the dual controlled process and the dual value function. We also perform some numerical tests and show how the S-shaped utility, the short-selling constraints and the portfolio insurance impact the optimal terminal wealth.

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Section: Proposition 37mentioning

confidence: 98%

Optimal investment of DC pension plan under short-selling constraints and portfolio insurance

Dong

Zheng

2019

Insurance: Mathematics and Economics

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“…Wang et al elaborated that novel group emergency decision making was related to experts' psychological behavior in the group emergency decision making process [38]. Guan et al took into consideration both the loss aversion and sensitivity analysis for the risk management in a defined contribution (DC) pension plan [39]. With respect to the risk decision making problem, Liu et al devised a multi-attribute decision making method based on prospect theory, which considers the influence on different parameters of value function [40].…”

Section: Literature Reviewmentioning

confidence: 99%

A Two-Sided Matching Model for Task Distribution in Ridesharing: A Sustainable Operations Perspective

Qin

Liu

et al. 2019

Sustainability

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With regard to task distribution in a ridesharing company, both the suitability of the tasks assigned to the drivers and the acceptability of the riders receiving the service should be simultaneously considered to improve the sustainability regarding Hitch services. Firstly, the process of the bi-directional choice between the drivers and the riders is described as a one-to-one two-sided matching problem. Next, prospect theory is used to characterize the psychological perceived behavior of both sides towards the matching scheme under the multiple criteria. Thus, the suitability function concerning the drivers and the acceptability function regarding the riders are naturally constructed. Following this, a two-sided matching decision model with two objectives is proposed. Finally, numerical experiments are presented to verify the feasibility and effectiveness of the proposed model. Besides, managerial insights associated with how to set the optimization objectives under unbalanced supply-demand in ridesharing companies are given. Increasingly, this paper aims to not only validate the proposed methodology, but also to highlight the importance and urge of incorporating sustainability into the task distribution problem in ridesharing.

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“…Guan and Liang [7] investigate optimal investment strategy of DC pension plan under a stochastic interest rate and stochastic volatility model, which includes the CIR, Vasicek and Heston's stochastic volatility models. The optimal investment strategies under the loss aversion and constraints of value at risk (VaR) from a perspective of risk management are discussed in Guan and Liang [8]. Recently, Sun et al [9] discuss the optimal strategy under inflation and stochastic income by using the Heston's SV model.…”

Section: Introductionmentioning

confidence: 99%

Determining Equivalent Administrative Charges for Defined Contribution Pension Plans under CEV Model

Chen

Zheng

Xie

2018

Mathematical Problems in Engineering

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In defined contribution pension plan, the determination of the equivalent administrative charges on balance and on flow is investigated if the risk asset follows a constant elasticity of variance (CEV) model. The maximum principle and the stochastic control theory are applied to derive the explicit solutions of the equivalent equation about the charges. Using the power utility function, our conclusion shows that the equivalent charge on balance is related to the charge on flow, risk-free interest rate, and the length of accumulation phase. Moreover, numerical analysis is presented to show our results.

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Optimal management of DC pension plan under loss aversion and Value-at-Risk constraints

Cited by 54 publications

References 32 publications

Optimal investment of DC pension plan under short-selling constraints and portfolio insurance

Optimal investment of DC pension plan under short-selling constraints and portfolio insurance

A Two-Sided Matching Model for Task Distribution in Ridesharing: A Sustainable Operations Perspective

Determining Equivalent Administrative Charges for Defined Contribution Pension Plans under CEV Model

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