Equilibrium investment strategy for defined-contribution pension schemes with generalized mean–variance criterion and mortality risk
Huiling Wu and
Insurance: Mathematics and Economics, 2015, vol. 64, issue C, 396-408
This paper studies a generalized multi-period mean–variance portfolio selection problem within the game theoretic framework for a defined-contribution pension scheme member. The member is assumed to have a stochastic salary flow and a stochastic mortality rate, and is allowed to invest in a financial market with one risk-free asset and one risky asset. The explicit expressions for the equilibrium investment strategy and equilibrium value function are obtained by backward induction. In addition, some sensitivity analysis and numerical illustrations are provided to show the effects of mortality risk on our results.
Keywords: Defined-contribution pension scheme; Equilibrium investment strategy; Mortality risk; Generalized mean–variance criterion; Time-inconsistency (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:64:y:2015:i:c:p:396-408
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