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

Robust equilibrium strategy for mean-variance-skewness portfolio selection problem

“…Pun [29] establishes a general analytical framework for continuous-time stochastic control problems for an ambiguity-averse agent with time-inconsistent preference. Similar investigations and results of robust portfolio selection can be also found in [7,8,32,34,35,36].…”

“…This is because the above integrability conditions are used to make the stochastic integral valid when computing the expectation of these functions, the result can be also obtained by the Dynkin's Theorem under the condition of the smoothness of these functions. Similar studies with assumptions of smoothness can be also found in [23,32,38] and so on.…”

“…Thus, we only need to verify that δ 3 := γ 0 h 2 (t) + 2φ 0 (g 1 (t)k 1 (t) − h 3 (t)) > 0. Since it is difficult to verify this directly, similar to the work [32], we will illustrate δ 3 > 0 by numerical experiments in Section 5.…”

“…The basic values of model parameters are mainly referred to [27,32] and are given as follows: the investment horizon is T = 5 (years), the risk-free interest rate r = 0.05, the risk aversion coefficient γ 0 = 2, the skewness preference parameter φ 0 = 0.50, the ambiguity averse parameter ξ = 1, the initial wealth at time t = 0 is w 0 = 4, µ = 0.15 and σ = 0.25. Without loss of generality, we focus on our analysis at time t = 0 for convenience.…”

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

“…Li et al [23] derived the optimal investment strategy for DC pension fund with the mean-variance criterion under partial information. For more literature on optimal asset allocation strategies for DC pension funds, please refer to Bian et al [3], Chang et al [5], Gerrard et al [11], Li et al [22], Wang et al [28], Wang et al [29], Wu et al [32], Yao et al [35], Zhang et al [37], Zhao et al [39] and many others.…”