Precommitment and equilibrium investment strategies for defined contribution pension plans under a jump–diffusion model

Sun, Jingyun; Li, Zhongfei; Zeng, Yan

doi:10.1016/j.insmatheco.2016.01.005

Cited by 55 publications

(36 citation statements)

References 30 publications

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“…The numerical results are depicted in Figure 3, which shows that the investor with liability invests more in the risky assets than the investor without liability. That is, the investor invests more in the risky assets when the wealth level decreases, which is consistent with the results of He and Liang (2013) [10] and Sun et al (2016) [29]. One possible explanation for this phenomenon is that the decrease of the wealth level forces the investor to invest more in the risky assets in order to have an opportunity to increase the wealth level.…”

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confidence: 88%

Time-consistent strategy for a multi-period mean-variance asset-liability management problem with stochastic interest rate

Bian¹,

Li²,

Yao³

2021

Journal of Industrial &Amp; Management Optimization

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In this paper, we investigate a multi-period mean-variance assetliability management problem with stochastic interest rate and seek its timeconsistent strategy. The financial market is assumed to be composed of one risk-free asset and multiple risky assets, and the stochastic interest rate is characterized by the discrete-time Vasicek model proposed by Yao et al. (2016a) [38]. We regard this problem as a non-cooperative game whose equilibrium strategy is the desired time-consistent strategy. We derive the analytical expressions of the equilibrium strategy, the equilibrium value function and the equilibrium efficient frontier by the extended Bellman equation. Some special cases of our model are discussed, and some properties of our equilibrium strategy, including a two-fund separation theorem, are proposed. Finally, a numerical example with real data is given to illustrate our theoretical results.

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confidence: 88%

Time-consistent strategy for a multi-period mean-variance asset-liability management problem with stochastic interest rate

Bian¹,

Li²,

Yao³

2021

Journal of Industrial &Amp; Management Optimization

Self Cite

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“…Many authors such as [1][2][3][4] among others studied the optimal investment problems under different assumptions. Investments in DC pension plan has evolve in the recent years, for example the study of optimal investment plan with return clause have taken centre stage since it takes into consideration the mortality risk of the members and this has drawn strength from the work of [5] where they studied optimal investment strategy with return of premium clause; they considered investment in one risk free asset and a risky asset modelled by geometric motions.…”

Section: Introductionmentioning

confidence: 99%

On Application of Matlab on Efficient Portfolio Management for a Pension Plan in the Presence of Uneven Distributions of Accumulated Wealth

Obasi

Akpanibah

2020

AJPAS

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In this paper, we solved the problem encountered by a pension plan member whose portfolio is made up of one risk free asset and three risky assets for the optimal investment plan with return clause and uneven distributions of the remaining accumulated wealth. Using mean variance utility function as our objective function, we formulate our problem as a continuous-time mean–variance stochastic optimal control problem. Next, we used the variational inequalities methods to transform our problem into Markovian time inconsistent stochastic control, to determine the optimal investment plan and the efficient frontier of the plan member. Using mat lab software, we obtain numerical simulations of the optimal investment plan with respect to time and compare our results with an existing result.

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“…Han and Hung [4], investigated the DC pension fund management problem with the inflation risk. Sun, Li and Zeng [5], discussed the optimization problem for the DC plan under a jump-diffusion model. Gao [6], applied the Legendre transform and dual theory to study the DC plan for a pension member's whole life under the CEV model.…”

Section: Introductionmentioning

confidence: 99%

Portfolio Selection Strategies with Return Clause in a DC Pension Fund

Akpanibah

Ini

2019

ARJOM

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This paper solves the problem faced by a pension fund manager in determining the optimal selection strategies involving four different assets comprising of one risk free asset and three risky assets whose prices are modelled by geometric Brownian motion. Also, a clause mandating the fund managers to return the accumulations with predetermined interest to members who lost their life during the accumulation period is considered. A stochastic optimal control model is formulated comprising of member’s monthly contributions, invested funds and the returned contributions. Also, an optimization problem from the extended Hamilton Jacobi Bellman (HJB) equation is established using the game theoretic approach. The explicit solutions of the optimal selection strategies and the efficient frontier are obtained by solving the extended HJB equation using the mean variance utility and separation of variable technique. Furthermore, a sensitivity analysis of the effect of some parameters on the optimal selection strategies is carried out numerically.

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Precommitment and equilibrium investment strategies for defined contribution pension plans under a jump–diffusion model

Cited by 55 publications

References 30 publications

Time-consistent strategy for a multi-period mean-variance asset-liability management problem with stochastic interest rate

Time-consistent strategy for a multi-period mean-variance asset-liability management problem with stochastic interest rate

On Application of Matlab on Efficient Portfolio Management for a Pension Plan in the Presence of Uneven Distributions of Accumulated Wealth

Portfolio Selection Strategies with Return Clause in a DC Pension Fund

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