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                        金融工程研究中心學術報告:Asset allocation for a DC pension plan with learning about stock return predictability

                        報告人:張玲 副教授,廣東金融江蘇體彩網學院

                          2019.12.27(周五) 10:00-11:00


                          We explore an optimal investment problem for a defined contribution (DC) pension plan member who can learning about the expected excess return of stock. The expected excess return of stock can be predicted both by an observable predictor and an unobservable predictor, and the member has to estimate the unobservable predicator by learning the history information. Moreover, the inflation risk and the stochastic salary are also considered in our model. By using the filtering technique and the stochastic optimal control, we derive the closed-form optimal investment strategy and the corresponding optimal value function for the DC pension plan with inflation and learning about stock return predictability. According to the theoretical and numerical results, we find that the hedging components in the optimal allocation on the inflation-indexed bond, which are used to hedge the risk arising from the stock return predictor, are more important than the corresponding hedging components on the stock. The correlations between the stock return predictors and the inflation-indexed bond have significant impact on the optimal investment strategy for DC pension plan. In addition, considerable welfare improvements may result from using the inflation-indexed bond either in learning about or hedging against the stock return predictors.

                        報√告人簡介:張玲,廣東金融學院保險學院一分快三app下載副教授,研究方向為:金融工程、風險管理、養老金融。在《InsuranceMathematics and Economics》、《Journal of Computational and Applied Mathematics》、《North American Journal of Economics and Finance》、《Applied stochastic models in business and industry》、《運籌與〓管理》等發◢表學術論文20余篇,主持國家級、省部級研究項易記彩票大發快三計劃目8項,參與國家自然科學基金創新群體項目、杰出青年基金項目、面上項目等若大發快三一期必中計劃干。廣東省高等學校“千百※十工程”培養對象,廣東省人文〖社會科學重點研究基地“廣東區域金融政★策研究中心”副主任,廣東省人文社會科學重點研究基地“中山江蘇福彩網金融工程與風險管理』研究中心”兼職研究【員,中國管▆理現代化研究會管理與決策科學專業委員會№理事,中國管理科學與工程學會金融金博棋牌app計量與卐風險管理研究會理事,廣東省運籌學會理事。



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