ROBUST OPTIMAL INVESTMENT STRATEGY FOR A DC PENSION PLAN IN THE MARKET WITH MISPRICING AND CONSTANT ELASTICITY OF VARIANCE

doi:10.3934/jimo.2023008

	ROBUST OPTIMAL INVESTMENT STRATEGY FOR A DC PENSION PLAN IN THE MARKET WITH MISPRICING AND CONSTANT ELASTICITY OF VARIANCE
	Sun, Jingyun1,2 ; Yao, Haixiang 3,4; LI, Zhongfei 5,6
	2023-02
发表期刊	JOURNAL OF INDUSTRIAL AND MANAGEMENT OPTIMIZATION
摘要	This paper considers an optimal asset allocation problem for a de -fined contribution pension fund in a continuous time setting, and the manager is concerned about potential model misspecification. We suppose that the fi-nancial market consists of one risk-free asset, one market index fund whose price satisfies the constant elasticity of variance model, and a pair of risky as-sets with mispricing. Under the objective of maximizing the expected utility of the pension fund wealth at the retirement, the closed form expressions of the robust optimal investment strategy and the corresponding value function are obtained by using the stochastic control theory. Finally, some numerical examples are given to compare the difference between the ambiguity averse and the ambiguity neutral strategies, and to investigate the effect of relevant parameters on the strategy. We find that the optimal investment strategy is not a long-short symmetric strategy when the mispricing assets have different mispricing correct capability, and it will lead to significant utility loss for the manager if the model uncertainty risk is ignored.
关键词	Ambiguity-averse investor robust optimal control constant elasticity of variance power utility
DOI	10.3934/jimo.2023008
收录类别	SCIE
ISSN	1547-5816
语种	英语
WOS研究方向	Engineering ; Operations Research & Management Science ; Mathematics
WOS类目	Engineering, Multidisciplinary ; Operations Research & Management Science ; Mathematics, Interdisciplinary Applications
WOS记录号	WOS:000937574600001
出版者	AMER INST MATHEMATICAL SCIENCES-AIMS
原始文献类型	Article ; Early Access
EISSN	1553-166X
引用统计	被引频次：1[WOS] [WOS记录] [WOS相关记录]
文献类型	期刊论文
条目标识符	http://ir.lzufe.edu.cn/handle/39EH0E1M/33447
专题	统计与数据科学学院
作者单位	1.Lanzhou Univ Finance & Econ, Sch Stat, Lanzhou 730020, Peoples R China; 2.Ctr Quantitat Anal Gansu Econ Dev, Lanzhou 730020, Peoples R China; 3.Guangdong Univ Foreign Studies, Sch Finance, Guangzhou 510006, Peoples R China; 4.Southern China Inst Fortune Management Res IFMR, Guangzhou 510006, Peoples R China; 5.Southern Univ Sci & Technol, Dept Finance, Shenzhen 518055, Peoples R China; 6.Guizhou Univ Finance & Econ, Coll Big Data Stat, Guiyang 550025, Peoples R China
第一作者单位	兰州财经大学
推荐引用方式 GB/T 7714	Sun, Jingyun,Yao, Haixiang,LI, Zhongfei. ROBUST OPTIMAL INVESTMENT STRATEGY FOR A DC PENSION PLAN IN THE MARKET WITH MISPRICING AND CONSTANT ELASTICITY OF VARIANCE[J]. JOURNAL OF INDUSTRIAL AND MANAGEMENT OPTIMIZATION,2023.
APA	Sun, Jingyun,Yao, Haixiang,&LI, Zhongfei.(2023).ROBUST OPTIMAL INVESTMENT STRATEGY FOR A DC PENSION PLAN IN THE MARKET WITH MISPRICING AND CONSTANT ELASTICITY OF VARIANCE.JOURNAL OF INDUSTRIAL AND MANAGEMENT OPTIMIZATION.
MLA	Sun, Jingyun,et al."ROBUST OPTIMAL INVESTMENT STRATEGY FOR A DC PENSION PLAN IN THE MARKET WITH MISPRICING AND CONSTANT ELASTICITY OF VARIANCE".JOURNAL OF INDUSTRIAL AND MANAGEMENT OPTIMIZATION (2023).