Journal article

CONTINUOUS-TIME MEAN-VARIANCE OPTIMIZATION for DEFINED CONTRIBUTION PENSION FUNDS with REGIME-SWITCHING

Z Chen, L Wang, P Chen, H Yao

International Journal of Theoretical and Applied Finance | World Scientific Publishing | Published : 2019

Abstract

Using mean-variance (MV) criterion, this paper investigates a continuous-time defined contribution (DC) pension fund investment problem. The framework is constructed under a Markovian regime-switching market consisting of one bank account and multiple risky assets. The prices of the risky assets are governed by geometric Brownian motion while the accumulative contribution evolves according to a Brownian motion with drift and their correlation is considered. The market state is modeled by a Markovian chain and the random regime-switching is assumed to be independent of the underlying Brownian motions. The incorporation of the stochastic accumulative contribution and the correlations between t..

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University of Melbourne Researchers

Grants

Awarded by National Natural Science Foundation of China


Awarded by World-Class Universities (Disciplines)


Awarded by Characteristic Development Guidance Funds for the Central Universities


Awarded by Natural Science Foundation of Guangdong Province of China


Funding Acknowledgements

This research was supported in part by the National Natural Science Foundation of China (Nos. 11571270 and 71471045), in part by the World-Class Universities (Disciplines) and the Characteristic Development Guidance Funds for the Central Universities (No. PY3A058), in part by the Natural Science Foundation of Guangdong Province of China (Nos. 2018B030311004 and 2017A030313399).