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Nash Equilibrium Strategy for a DC Pension Plan with State-Dependent Risk Aversion: A Multiperiod Mean-Variance Framework
Joint Authors
Source
Discrete Dynamics in Nature and Society
Issue
Vol. 2018, Issue 2018 (31 Dec. 2018), pp.1-17, 17 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2018-10-17
Country of Publication
Egypt
No. of Pages
17
Main Subjects
Abstract EN
This paper investigates a defined contribution (DC) pension plan investment problem during the accumulation phase under the multiperiod mean-variance criterion.
Different from most studies in the literature, where the investor’s risk aversion attitude is state-independent, we choose a state-dependent risk aversion parameter, which is a fractional function of the current wealth level.
Moreover, we incorporate the wage income factor into our model, which leads to a more complicated problem than the portfolio selection problems that appeared in relevant papers.
Due to the time inconsistency of the resulting problem, we derive the explicit expressions for the equilibrium strategy and the corresponding equilibrium value function by adopting the game theoretic framework and using the extended Bellman equation.
Further, two special cases are discussed.
Finally, based on real data from the American market, some prominent features of the equilibrium strategy established in our theoretical derivations are provided by comparing them with the results in the existing literature.
American Psychological Association (APA)
Wang, Liyuan& Chen, Zhiping. 2018. Nash Equilibrium Strategy for a DC Pension Plan with State-Dependent Risk Aversion: A Multiperiod Mean-Variance Framework. Discrete Dynamics in Nature and Society،Vol. 2018, no. 2018, pp.1-17.
https://search.emarefa.net/detail/BIM-1152803
Modern Language Association (MLA)
Wang, Liyuan& Chen, Zhiping. Nash Equilibrium Strategy for a DC Pension Plan with State-Dependent Risk Aversion: A Multiperiod Mean-Variance Framework. Discrete Dynamics in Nature and Society No. 2018 (2018), pp.1-17.
https://search.emarefa.net/detail/BIM-1152803
American Medical Association (AMA)
Wang, Liyuan& Chen, Zhiping. Nash Equilibrium Strategy for a DC Pension Plan with State-Dependent Risk Aversion: A Multiperiod Mean-Variance Framework. Discrete Dynamics in Nature and Society. 2018. Vol. 2018, no. 2018, pp.1-17.
https://search.emarefa.net/detail/BIM-1152803
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1152803