The defined contribution pension plan after retirement under the criterion of a revised loss considering the economic situation-Reference-Cited by-同舟云学术

The defined contribution pension plan after retirement under the criterion of a revised loss considering the economic situation

Published:2024 Issue:2 Volume:9 Page:4749-4761
ISSN:2473-6988
Container-title:AIMS Mathematics
language:
Short-container-title:MATH

Author:

Sun Zongqi¹,Yang Peng²,Wu Jing¹,Fan Yunpeng³

Affiliation:

1. School of Computer Science, Xijing University, Xi'an, Shaanxi 710123, China

2. School of Statistics, Xi'an University of Finance and Economics, Xi'an, Shaanxi 710048, China

3. Department of Mathematics, Xian Siyuan University, Xi'an, Shaanxi 710038, China

Abstract

<abstract> <p>Considering the economic situation, we investigate the optimal asset allocation of defined contribution pension funds with random payouts after retirement under a modified criterion of quadratic loss. The HJB equation is derived adhering to the dynamic programming principle, and the time-consistent optimal investment strategy is designed based on the calculus theory. Finally, under two different risk attitudes, namely surplus preference and risk aversion, the impact of key parameters on the optimal investment strategy and the function of minimum loss at the initial moment is compared and analyzed, the economic significance is demonstrated, and the rationality of the model is verified.</p> </abstract>

Publisher

American Institute of Mathematical Sciences (AIMS)

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