Robust portfolio choice for a defined contribution pension plan with stochastic income and interest rate

doi:10.1080/03610926.2017.1367815

	Robust portfolio choice for a defined contribution pension plan with stochastic income and interest rate
	Sun, Jingyun; Li, Yongjun ; Zhang, Ling
	2018
发表期刊	COMMUNICATIONS IN STATISTICS-THEORY AND METHODS
卷号	47 期号:17 页码:4106-4130
摘要	This paper considers a robust portfolio choice problem for a defined contribution pension plan with stochastic income and stochastic interest rate. The investment objective of the pension plan is to maximize the expected utility of the wealth at the retirement time. We assume that the financial market consists of a stock, a zero-coupon bond and a risk-free asset. And the member of defined contribution pension plan is ambiguity-averse, which means that the member is uncertain about the expected return rate of the bond and stock. Meanwhile, the member's ambiguity-aversion level toward these two financial assets is quite different. The closed-form expressions of the robust optimal investment strategy and the corresponding value function are derived by adopting the stochastic dynamic programming approach. Furthermore, the sensitive analysis of model parameters on the optimal investment strategy are presented. We find that the member's aversion on model ambiguity increases her hedging demand and has remarkable impact on the optimal investment strategy. Moreover, we demonstrate that ignoring model uncertainty will lead to significant utility loss for the ambiguity-averse member, and the model uncertainty about the stock dynamics implies greater effect on the outcome of the investment than the bond.
关键词	Ambiguity-averse member defined contribution pension plan robust optimal control stochastic interest rate
DOI	10.1080/03610926.2017.1367815
收录类别	SCI ; EI ; SCOPUS ; SCIE ; SSCI
ISSN	0361-0926
语种	英语
WOS研究方向	Mathematics
WOS类目	Statistics & Probability
WOS记录号	WOS:000436824900002
出版者	TAYLOR & FRANCIS INC
EI入藏号	20174504364151
原始文献类型	Review
EISSN	1532-415X
引用统计	被引频次：15[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/898
专题	统计与数据科学学院
作者单位	1.Lanzhou Univ Finance & Econ, Sch Stat, Lanzhou, Gansu, Peoples R China; 2.Lanzhou City Univ, Sch Math, Lanzhou, Gansu, Peoples R China; 3.Guangdong Univ Finance, Sch Insurance, Ctr Financial Engn & Risk Management, Guangzhou, Guangdong 510521, Peoples R China
推荐引用方式 GB/T 7714	Sun, Jingyun,Li, Yongjun,Zhang, Ling. Robust portfolio choice for a defined contribution pension plan with stochastic income and interest rate[J]. COMMUNICATIONS IN STATISTICS-THEORY AND METHODS,2018,47(17):4106-4130.
APA	Sun, Jingyun,Li, Yongjun,&Zhang, Ling.(2018).Robust portfolio choice for a defined contribution pension plan with stochastic income and interest rate.COMMUNICATIONS IN STATISTICS-THEORY AND METHODS,47(17),4106-4130.
MLA	Sun, Jingyun,et al."Robust portfolio choice for a defined contribution pension plan with stochastic income and interest rate".COMMUNICATIONS IN STATISTICS-THEORY AND METHODS 47.17(2018):4106-4130.