Journal article

Multi-period defined contribution pension funds investment management with regime-switching and mortality risk

H Yao, P Chen, X Li

Insurance: Mathematics and Economics | Elsevier | Published : 2016

Abstract

Using mean–variance criterion, we investigate a multi-period defined contribution pension fund investment problem in a Markovian regime-switching market. Both stochastic wage income and mortality risk are incorporated in our model. In a regime-switching market, the market mode changes among a finite number of regimes, and the market state process is modeled by a Markov chain. The key parameters, such as the bank interest rate, or expected returns and covariance matrix of stocks, will change according to the market state. By virtue of Lagrange duality technique, dynamic programming approach and matrix representation method, we derive expressions of efficient investment strategy and its effici..

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University of Melbourne Researchers

Grants

Awarded by National Natural Science Foundation of China


Awarded by China Postdoctoral Science Foundation


Awarded by Philosophy and Social Science Foundation of Guangzhou


Awarded by Hong Kong RGC


Funding Acknowledgements

This research is supported by grants from the National Natural Science Foundation of China (No. 71471045), the China Postdoctoral Science Foundation (Nos. 2014M560658, 2015T80896), the Philosophy and Social Science Foundation of Guangzhou (No. 14G42), the Characteristic and Innovation Foundation of Guangdong Colleges and Universities (Humanity and Social Science Type), and the Hong Kong RGC grants 15209614 and 15224215.