scholarly journals Robust equilibrium control-measure policy for a DC pension plan with state-dependent risk aversion under mean-variance criterion

2017 ◽  
Vol 13 (5) ◽  
pp. 0-0
Author(s):  
Liyuan Wang ◽  
◽  
Zhiping Chen ◽  
Peng Yang ◽  
◽  
...  
Keyword(s):  
Risk Aversion ◽  
Control Measure ◽  
Pension Plan ◽  
State Dependent ◽  
Equilibrium Control ◽  
Robust Equilibrium ◽  
Mean Variance ◽  
Variance Criterion

scholarly journals Stochastic Game Theoretic Formulation for a Multi-Period DC Pension Plan with State-Dependent Risk Aversion

Mathematics ◽  
2019 ◽  
Vol 7 (1) ◽  
pp. 108 ◽  
Author(s):  
Liyuan Wang ◽  
Zhiping Chen
Keyword(s):  
Risk Aversion ◽  
Stochastic Game ◽  
Pension Plan ◽  
Time Inconsistency ◽  
State Variables ◽  
Economic Point ◽  
State Dependent ◽  
Equilibrium Control ◽  
Special Cases ◽  
Game Theoretic

When facing a multi-period defined contribution (DC) pension plan investment problem during the accumulation phase, the risk aversion attitude of a mean-variance investor may depend on state variables. In this paper, we propose a state-dependent risk aversion model which is a linear function of the current wealth level after contribution. This risk aversion model is reasonable from both the dimensional analysis and the economic point of view. Moreover, we incorporate the wage income factor into our model. In the field of dynamic investment analysis, most studies have irrational situations in their models because of the lack of the positiveness for the wealth process. In view of it, we further improve the work of Wang and Chen by completely eliminating the irrationality of the model. Due to the time-inconsistency of the resulting stochastic control problem, we derive the explicit expressions of the equilibrium control and the corresponding equilibrium value function by adopting the game theoretic framework developed in Björk and Murgoci. Further, two special cases are discussed. Finally, using a more realistic risk aversion coefficient, we provide a series of empirical tests based on the real data from the American market and compare our results with the relevant results in the literature.

scholarly journals Nash Equilibrium Strategy for a DC Pension Plan with State-Dependent Risk Aversion: A Multiperiod Mean-Variance Framework

2018 ◽  
Vol 2018 ◽  
pp. 1-17 ◽  
Author(s):  
Liyuan Wang ◽  
Zhiping Chen
Keyword(s):  
Risk Aversion ◽  
Pension Plan ◽  
Time Inconsistency ◽  
Equilibrium Strategy ◽  
Defined Contribution ◽  
Nash Equilibrium Strategy ◽  
State Dependent ◽  
Special Cases ◽  
Fractional Function ◽  
Mean Variance

This paper investigates a defined contribution (DC) pension plan investment problem during the accumulation phase under the multiperiod mean-variance criterion. Different from most studies in the literature, where the investor’s risk aversion attitude is state-independent, we choose a state-dependent risk aversion parameter, which is a fractional function of the current wealth level. Moreover, we incorporate the wage income factor into our model, which leads to a more complicated problem than the portfolio selection problems that appeared in relevant papers. Due to the time inconsistency of the resulting problem, we derive the explicit expressions for the equilibrium strategy and the corresponding equilibrium value function by adopting the game theoretic framework and using the extended Bellman equation. Further, two special cases are discussed. Finally, based on real data from the American market, some prominent features of the equilibrium strategy established in our theoretical derivations are provided by comparing them with the results in the existing literature.

Mean-Variance Asset Liability Management with State-Dependent Risk Aversion

2017 ◽  
Vol 21 (1) ◽  
pp. 87-106 ◽  
Author(s):  
Yan Zhang ◽  
Yonghong Wu ◽  
Shuang Li ◽  
Benchawan Wiwatanapataphee
Keyword(s):  
Risk Aversion ◽  
Asset Liability Management ◽  
Liability Management ◽  
State Dependent ◽  
Mean Variance

DETERMINISTIC INVESTMENT STRATEGY IN A DC PENSION PLAN WITH INFLATION RISK UNDER MEAN-VARIANCE CRITERION

2020 ◽  
pp. 1-16
Author(s):  
Xingchun Peng ◽  
Fenge Chen
Keyword(s):  
Diffusion Process ◽  
Pension Plan ◽  
Investment Strategy ◽  
Inflation Risk ◽  
Special Cases ◽  
Plan Member ◽  
The Mean ◽  
Adapted Process ◽  
Mean Variance ◽  
Variance Criterion

This paper studies an optimal deterministic investment problem for a DC pension plan member with inflation risk. We describe the price processes of the inflation-indexed bond and the stock by a continuous diffusion process and a jump diffusion process with random parameters, respectively. The contribution rate linked to the income of the DC plan member is assumed to be a non-Markovian adapted process. Under the mean-variance criterion, we use Malliavin calculus to derive a characterization for the optimal deterministic investment strategy. In some special cases, we obtain the explicit expressions for the optimal deterministic strategies.

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