Equilibrium Investment Strategy for a DC Plan With Partial Information and Mean-Variance Criterion

doi:10.1109/JSYST.2016.2533920

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	Equilibrium Investment Strategy for a DC Plan With Partial Information and Mean-Variance Criterion
	Li, Yongwu 1; Wang, Shouyang1 ; Zeng, Yan 2,3; Qiao, Han 4
	2017-09-01
发表期刊	IEEE SYSTEMS JOURNAL
ISSN	1932-8184
卷号	11 期号:3 页码:1492-1504
摘要	This 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.
关键词	Dynamic equilibrium dynamic programming Kalman filters optimal control portfolios
DOI	10.1109/JSYST.2016.2533920
语种	英语
资助项目	National 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研究方向	Computer Science ; Engineering ; Operations Research & Management Science ; Telecommunications
WOS类目	Computer Science, Information Systems ; Engineering, Electrical & Electronic ; Operations Research & Management Science ; Telecommunications
WOS记录号	WOS:000417373200031
出版者	IEEE-INST ELECTRICAL ELECTRONICS ENGINEERS INC
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/29260
专题	系统科学研究所
通讯作者	Li, Yongwu
作者单位	1.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
推荐引用方式 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.