Relative Performance Concern on DC Pension Plan under Heston Model with Inflation Risk
Joint Authors
Source
Mathematical Problems in Engineering
Issue
Vol. 2020, Issue 2020 (31 Dec. 2020), pp.1-14, 14 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2020-12-21
Country of Publication
Egypt
No. of Pages
14
Main Subjects
Abstract EN
With the global outbreak of new coronavirus pneumonia, more and more countries have entered the state of sealing off cities.
After the epidemic, with the shortage of some materials, the economy is very likely to enter the state of inflation.
Thereby, it is necessary and urgent for us to reconsider investment problems involving inflation risk.
In this paper, we mainly study the optimal investment strategy of two defined contribution (DC) pension managers with strategy interaction under inflation risk.
The traditional portfolio literatures mainly focus on DC pension plan and try to maximize the expected utility of terminal nominal wealth.
In this paper, we consider the more complicated situation that pension managers have, both concerns on relative wealth and relative risk aversion.
Then, the objective function is constructed to satisfy these two concerns.
The dynamic programming principle method is employed to solve the above problems, and a series of analytical solutions to this problem are obtained.
Finally, some numerical examples are discussed for the economic implications to support our theoretical results.
American Psychological Association (APA)
Song, Aimin& Chen, Peimin. 2020. Relative Performance Concern on DC Pension Plan under Heston Model with Inflation Risk. Mathematical Problems in Engineering،Vol. 2020, no. 2020, pp.1-14.
https://search.emarefa.net/detail/BIM-1195730
Modern Language Association (MLA)
Song, Aimin& Chen, Peimin. Relative Performance Concern on DC Pension Plan under Heston Model with Inflation Risk. Mathematical Problems in Engineering No. 2020 (2020), pp.1-14.
https://search.emarefa.net/detail/BIM-1195730
American Medical Association (AMA)
Song, Aimin& Chen, Peimin. Relative Performance Concern on DC Pension Plan under Heston Model with Inflation Risk. Mathematical Problems in Engineering. 2020. Vol. 2020, no. 2020, pp.1-14.
https://search.emarefa.net/detail/BIM-1195730
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1195730