Equilibrium Investment Strategy for a DC Plan With Partial Information and Mean-Variance Criterion
文献类型：期刊论文
| 作者 | Li, Yongwu1; Wang, Shouyang1 ; Zeng, Yan2,3; Qiao, Han4
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| 刊名 | IEEE SYSTEMS JOURNAL
 |
| 出版日期 | 2017-09-01 |
| 卷号 | 11期号:3页码:1492-1504 |
| 关键词 | Dynamic equilibrium dynamic programming Kalman filters optimal control portfolios |
| ISSN号 | 1932-8184 |
| DOI | 10.1109/JSYST.2016.2533920 |
| 英文摘要 | 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. |
| 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 |
| 语种 | 英语 |
| WOS记录号 | WOS:000417373200031 |
| 出版者 | IEEE-INST ELECTRICAL ELECTRONICS ENGINEERS INC |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/29259]  |
| 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. |
入库方式： OAI收割
来源：数学与系统科学研究院
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