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
	2023-10
发表期刊	Journal of Industrial and Management Optimization
卷号	19 期号:10 页码:7540-7564
摘要	This paper considers an optimal asset allocation problem for a defined contribution pension fund in a continuous time setting, and the manager is concerned about potential model misspecification. We suppose that the financial 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 assets 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 © 2023, Journal of Industrial and Management Optimization.All Rights Reserved.
关键词	Commerce Continuous time systems Elasticity Financial markets Investments Optimization Stochastic control systems Strategic planning Allocation problems Ambiguity averse Ambiguity-averse investor Asset allocation Constant elasticity of variances Investment strategy Optimal investments Pension funds Power utility Robust-optimal controls
DOI	10.3934/jimo.2023008
收录类别	EI ; 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	American Institute of Mathematical Sciences
EI入藏号	20231814032589
EI主题词	Stochastic systems
EI分类号	731.1 Control Systems ; 912.2 Management ; 921.5 Optimization Techniques ; 961 Systems Science
原始文献类型	Journal article (JA)
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/34500
专题	统计与数据科学学院
作者单位	1.School of Statistics, Lanzhou University of Finance and Economics, Lanzhou; 730020, China; 2.Center for Quantitative Analysis of Gansu Economic Development, Lanzhou; 730020, China; 3.School of Finance, Guangdong University of Foreign Studies, Guangzhou; 510006, China; 4.Southern China Institute of Fortune Management Research (IFMR), Guangzhou; 510006, China; 5.Department of Finance, Southern University of Science and Technology, Shenzhen; 518055, China; 6.College of Big Data Statistics, Guizhou University of Finance and Economics, Guiyang; 550025, China
第一作者单位	统计与数据科学学院
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,2023,19(10):7540-7564.
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,19(10),7540-7564.
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 19.10(2023):7540-7564.