Optimal portfolios for the DC pension fund with mispricing under the HARA utility framework-Reference-Cited by-同舟云学术

Optimal portfolios for the DC pension fund with mispricing under the HARA utility framework

Published:2023 Issue:2 Volume:19 Page:1262
ISSN:1547-5816
Container-title:Journal of Industrial and Management Optimization
language:
Short-container-title:JIMO

Author:

Liu Zilan¹,Wang Yijun²,Huang Ya¹,Zhou Jieming³

Affiliation:

1. School of Business, Hunan Normal University, Changsha 410081, China

2. MOE-LCSM, School of Mathematics and Statistics, Hunan Normal University, Changsha 410081, China

3. Key Laboratory of Applied Statistics and Data Science, College of Hunan Province, Hunan Normal University, Changsha 410081, China

Abstract

<p style='text-indent:20px;'>This paper studies the optimal portfolio selection for defined contribution (DC) pension fund with mispricing. We adopt the general hyperbolic absolute risk averse (HARA) utility to describe the risk performance of the pension fund managers. The financial market comprises a risk-free asset, a pair of mispriced stocks, and the market index. Using the dynamic programming approach, we construct the Hamilton-Jacobi-Bellman (HJB) equation and obtain the explicit expressions for optimal portfolio choices with two methods. Finally, numerical analysis is presented to illustrate the sensitivity of the optimal portfolios to parameters of the financial market and contribution process. <b>200</b> words.</p>

Publisher

American Institute of Mathematical Sciences (AIMS)

Subject

Applied Mathematics,Control and Optimization,Strategy and Management,Business and International Management,Applied Mathematics,Control and Optimization,Strategy and Management,Business and International Management

Reference39 articles.

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