Colloquium

Optimal Investment Strategy for a DC Pension Member with Loss Aversion, Inflation Risk and Minimum Performance Constraint

  • Speaker: 李仲飞教授 中山大学管73882必赢网页版教授

  • Time: May 4, 2017, 15:30-16:30

  • Location: Conference Room 706, Service Center of Scientific Research and Teaching

嘉宾简介:

李仲飞,中国科学院管理学博士,中山大学管73882必赢网页版教授、博士生导师,广东省人文社科重点研究基地中山大学金融工程与风险管理研究中心主任,教育部长江学者特聘教授,国家杰出青年73882必赢网页版科学基金获得者,国务院特殊津贴专家,全国百篇优秀博士学位论文获得者,曾任中山大学社科处处长、管73882必赢网页版执行院长、创业学院院长。


Abstract:

We consider an optimal investment problem for a defined-contribution (DC) pension member who are loss-averse, faces inflation and longevity risks and requires a minimum performance at retirement. The loss-aversion is characterized by an S-shaped utility. We provide a fully analytical characterization of the optimal investment strategy in an indexed bond, a stock and a risk-free asset by using the martingale approach. Our theoretical and numerical results show that the percentages of wealth invested in risky assets usually have a V-shaped pattern with respect to the growing of reference point level, and increases along with the rising lifespan. There are additional hedging components in the portfolio due to the salary and minimum performance constraint. The salary causes her to invest less aggressively in index bond. While the minimum performance offsets the effect of salary. Furthermore, our results have some important implications for the management of a DC pension plan.



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