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Title: Multi-period defined contribution pension funds investment management with regime-switching and mortality risk
Authors: Yao, H
Chen, P
Li, X 
Issue Date: Nov-2016
Source: Insurance : mathematics and economics, Nov. 2016, v. 71, p. 103-113
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 efficient frontier in closed-form. Also, we study some special cases of our model. Finally, a numerical example based on real data from the American market sheds light on our theoretical results.
Keywords: Contribution pension funds
Dynamic programming
Mortality risk
Multi-period mean–variance
Regime switching
Publisher: Elsevier
Journal: Insurance : mathematics and economics 
ISSN: 0167-6687
DOI: 10.1016/j.insmatheco.2016.08.005
Rights: © 2016 Elsevier B.V. All rights reserved.
© 2016. This manuscript version is made available under the CC-BY-NC-ND 4.0 license https://creativecommons.org/licenses/by-nc-nd/4.0/
The following publication Yao, H., Chen, P., & Li, X. (2016). Multi-period defined contribution pension funds investment management with regime-switching and mortality risk. Insurance: Mathematics and Economics, 71, 103-113 is available at https://doi.org/10.1016/j.insmatheco.2016.08.005
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