通知讲座

7月19日:Zhixin Yang | Stochastic Optimization Algorithms for Mean-Variance Management of a Defined Contribution Pension under Rational Inattention

时间:2019年7月19日(周五) 13:00-14:00

地点:中北校区理科大楼A1716报告厅

题目:Stochastic Optimization Algorithms for Mean-Variance Management of a Defined Contribution Pension under Rational Inattention

主讲人:Zhixin Yang (Assistant Professor, Ball State University)


摘要:

This paper studies the optimal investment strategies of a defined contribution pension plan. Considering the mortality risk and inflation risk, a pensioner manages his defined contribution plan under the mean-variance framework throughout the working life. The volatile economy states throughout the working life is described as a hidden Markov regime-switching process. The pensioner has to filter the key economic factors to make decisions. By using the Wonham filter, a partially observed system is converted to a completely observed one. However, due to the finite information-processing capability in the long term, the pensioner fail to process all of the information in a rational manner and can only make decisions based on the limited observed signals. A stochastic approximation algorithm is developed to find the optimal investment strategies and observation strength. Convergence of the algorithm and rate of convergence are presented. Numerical examples are provided to illustrate the performance of the numerical method.


发布者:王璐瑶发布时间:2019-07-15浏览次数:37