金融工程研讨中央学术陈诉:Asset allocation for a DC pension plan with learning about stock return predictability
 
金融工程研讨中央学术陈诉:Asset allocation for a DC pension plan with learning about stock return predictability

陈诉人:张玲 副传授,广东金融学院

  2019.12.27(周五) 10:00-11:00

  :金融工程研讨中央105

  We explore an optimal investment problem for a defined contribution (DC) pension plan member who can learning about the expected excess return of stock. The expected excess return of stock can be predicted both by an observable predictor and an unobservable predictor, and the member has to estimate the unobservable predicator by learning the history information. Moreover, the inflation risk and the stochastic salary are also considered in our model. By using the filtering technique and the stochastic optimal control, we derive the closed-form optimal investment strategy and the corresponding optimal value function for the DC pension plan with inflation and learning about stock return predictability. According to the theoretical and numerical results, we find that the hedging components in the optimal allocation on the inflation-indexed bond, which are used to hedge the risk arising from the stock return predictor, are more important than the corresponding hedging components on the stock. The correlations between the stock return predictors and the inflation-indexed bond have significant impact on the optimal investment strategy for DC pension plan. In addition, considerable welfare improvements may result from using the inflation-indexed bond either in learning about or hedging against the stock return predictors.

陈诉人简介:张玲,广东金融学院保险学院副传授,研讨偏向为:金融工程、危害办理、养老金融。在《InsuranceMathematics and Economics》、《Journal of Computational and Applied Mathematics》、《North American Journal of Economics and Finance》、《Applied stochastic models in business and industry》、《运筹与办理》等发布学术论文20余篇,掌管国度级、省部级研讨项目8项,到场国度天然迷信基金创新群体项目、出色青年基金项目、面上项目等多少。广东省初等学校“千百十工程”培育工具,广东省人文社会迷信重点研讨基地“广东地区金融政策研讨中央”副主任,广东省人文社会迷信重点研讨基地“中山大学金融工程与危害办理研讨中央”兼职研讨员,中国办理古代化研讨会办理与决议计划迷信专业委员会理事,中国办理迷信与工程学会金融计量与危害办理研讨会理事,广东省运筹学会理事。

 

 

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