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Equilibrium Investment Strategy for a DC Plan With Partial Information and Mean-Variance Criterion
Li, Yongwu1; Wang, Shouyang1; Zeng, Yan2,3; Qiao, Han4
2017-09-01
Source PublicationIEEE SYSTEMS JOURNAL
ISSN1932-8184
Volume11Issue:3Pages:1492-1504
AbstractThis paper studies a mean-variance portfolio selection problem with partial information for a defined-contribution (DC) pension scheme. We assume that the DC pension plan member can only observe the price of the risky asset but not the appreciation rate of it in the financial market. Moreover, inflation risk and salary risk are taken into account in our model. First, by virtue of the filtering theory, we transform the partially observable mean-variance portfolio selection problem to a completely observable one. Then, to look for an equilibrium investment strategy, we formulate and tackle the mean-variance problem within a game theoretic framework. By solving an extended Hamilton-Jacobi-Bellman (HJB) system of equations, closed-form expressions of the equilibrium investment strategy and corresponding equilibrium value function with partial information are derived for the DC pension plan. In addition, some numerical illustrations are provided to show the effects of parameters on the derived equilibrium investment strategies and the efficient frontier.
KeywordDynamic equilibrium dynamic programming Kalman filters optimal control portfolios
DOI10.1109/JSYST.2016.2533920
Language英语
Funding ProjectNational Natural Science Foundation of China[71390330] ; National Natural Science Foundation of China[71390331] ; National Natural Science Foundation of China[71201173] ; National Natural Science Foundation of China[71373262] ; National Natural Science Foundation of China[71501176] ; National Natural Science Foundation of China[71571195] ; China Postdoctoral Science Foundation[2015M580141] ; Guangdong Natural Science Funds for Distinguished Young Scholar[2015A030306040]
WOS Research AreaComputer Science ; Engineering ; Operations Research & Management Science ; Telecommunications
WOS SubjectComputer Science, Information Systems ; Engineering, Electrical & Electronic ; Operations Research & Management Science ; Telecommunications
WOS IDWOS:000417373200031
PublisherIEEE-INST ELECTRICAL ELECTRONICS ENGINEERS INC
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Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/29260
Collection系统科学研究所
Affiliation1.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China
2.Sun Yat Sen Univ, Lingnan Univ Coll, Guangzhou 510275, Guangdong, Peoples R China
3.Sun Yat Sen Univ, China Inst Econ Transact & Opening, Guangzhou 510275, Guangdong, Peoples R China
4.Univ Chinese Acad Sci, Sch Econ & Management, Beijing 100190, Peoples R China
Recommended Citation
GB/T 7714
Li, Yongwu,Wang, Shouyang,Zeng, Yan,et al. Equilibrium Investment Strategy for a DC Plan With Partial Information and Mean-Variance Criterion[J]. IEEE SYSTEMS JOURNAL,2017,11(3):1492-1504.
APA Li, Yongwu,Wang, Shouyang,Zeng, Yan,&Qiao, Han.(2017).Equilibrium Investment Strategy for a DC Plan With Partial Information and Mean-Variance Criterion.IEEE SYSTEMS JOURNAL,11(3),1492-1504.
MLA Li, Yongwu,et al."Equilibrium Investment Strategy for a DC Plan With Partial Information and Mean-Variance Criterion".IEEE SYSTEMS JOURNAL 11.3(2017):1492-1504.
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