Robust portfolio choice for a DC pension plan with inflation risk and mean-reverting risk premium under ambiguity

doi:10.1080/02331934.2019.1679812

	Robust portfolio choice for a DC pension plan with inflation risk and mean-reverting risk premium under ambiguity
	Wang, Pei ; Li, Zhongfei ; Sun, Jingyun
	2019-11
发表期刊	OPTIMIZATION
卷号	70 期号:1 页码:191-224
摘要	This paper investigates a robust optimal portfolio choice problem for a defined contribution (DC) pension plan member. The member worries about model ambiguity and aims to seek robust optimal investment strategies. Specifically, the member has a stochastic salary, considers inflation risk and invests her pension account wealth into a financial market consisting of a risk-free asset, an inflation-indexed bond and a stock whose expected return rate follows a mean-reverting process. By using the dynamic programming approach, the robust optimal investment strategy and the corresponding value function are explicitly derived, and subsequently a verification theorem is provided. Furthermore, two special cases of our portfolio model are discussed. Finally, a numerical example is presented to reveal economic implications of our theoretical results and to illustrate the effects of the model parameters on the robust optimal investment strategy. We find that ambiguity about the dynamics of the inflation-indexed bond price and the stock price and expected return rate has different influences on the robust optimal investment strategy, and that neglecting ambiguity will always lead to utility loss.
关键词	Robust portfolio choice DC pension plan inflation risk mean-reverting process model ambiguity
DOI	10.1080/02331934.2019.1679812
收录类别	SCI ; SCOPUS ; SSCI ; SCIE
ISSN	0233-1934
语种	英语
WOS研究方向	Operations Research & Management Science ; Mathematics
WOS类目	Operations Research & Management Science ; Mathematics, Applied
WOS记录号	WOS:000493781300001
出版者	TAYLOR & FRANCIS LTD
原始文献类型	Article
EISSN	1029-4945
引用统计	被引频次：28[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/542
专题	统计与数据科学学院
作者单位	1.Guangdong Univ Finance, Ctr Financial Engn & Risk Management, Sch Insurance, Guangzhou, Guangdong, Peoples R China; 2.Sun Yat Sen Univ, Sun Yat Sen Business Sch, Guangzhou, Guangdong, Peoples R China; 3.Sun Yat Sen Univ, Sch Management, Xinhua Coll, Guangzhou, Guangdong, Peoples R China; 4.Lanzhou Univ Finance & Econ, Sch Stat, Lanzhou, Gansu, Peoples R China
推荐引用方式 GB/T 7714	Wang, Pei,Li, Zhongfei,Sun, Jingyun. Robust portfolio choice for a DC pension plan with inflation risk and mean-reverting risk premium under ambiguity[J]. OPTIMIZATION,2019,70(1):191-224.
APA	Wang, Pei,Li, Zhongfei,&Sun, Jingyun.(2019).Robust portfolio choice for a DC pension plan with inflation risk and mean-reverting risk premium under ambiguity.OPTIMIZATION,70(1),191-224.
MLA	Wang, Pei,et al."Robust portfolio choice for a DC pension plan with inflation risk and mean-reverting risk premium under ambiguity".OPTIMIZATION 70.1(2019):191-224.