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中山大学 曾燕副教授:Asset allocation under loss aversion and minimum performance constraint in

(发布于:2017-03-13 )

主讲人:曾燕,中山大学岭南学院, 中山大学金融工程与风险管理研究中心

主  题:Asset allocation under loss aversion and minimum performance constraint in 
        a DC pension plan with inflation risk
主持人:经济数学学院 马敬堂教授

时  间:2017年3月17日(星期五)下午:4:00

地  点:柳林校区通博楼B412

主  办:经济数学学院、科研处

 

人介绍:曾燕中山大学岭南学院副教授、博士生导师。其主要从事金融工程、风险管理、保险精算与金融经济学等领域的研究,曾在香港大学、加拿大滑铁卢大学、美国麻省理工学院(MIT)访问,是广东省杰青、霍英东教育基金项目获得者、广东省高校千百十工程校级培养对象;主持了国家自科面上项目等10余项课题,其中省部级以上9项,参与了国家自然科学基金项目、教育部哲学社会科学研究重大课题攻关项目、广东省自然科学基金研究团队项目等多项课题;在本领域著名期刊《Insurance: Mathematics and Economics》、《Journal of Economic Dynamics and Control》、《Annals of Operations Research》、《IEEE Systems Journal》、《Journal of Optimization Theory and Applications》、《管理科学学报》等上发表学术论文40余篇,其中SCI/SSCI收录20余篇;研究成果获得广东省哲学社科优秀成果一等奖(省级)、第七届高等学校科学研究优秀成果三等奖(部级)、中国人保部社会保障论征文三等奖(部级)等;学术兼职包括中国运筹学会金融工程与金融风险管理分会副秘书长、Quantitative Finance and Economics编委等。

座内容: In this paper we investigate an optimal investment problem for a defined-contribution (DC) pension plan member who is loss averse, pays close attention to inflation and longevity risks and requires a minimum performance at retirement. The member aims to maximize the excepted S-shaped utility from the terminal wealth over the minimum performance by investing her wealth in a financial market consisting of an indexed bond, a stock and a risk-free asset. We derive the optimal investment strategy in closed-form using the martingale approach. Our theoretical and numerical results reveal that the wealth proportion invested in each risky asset has a V-shaped pattern in the reference point level, while it always increases in the rising lifespan; with a positive correlation between salary and inflation risks, the presence of salary decreases the member’s investment in risky assets; the minimum performance helps to hedge the longevity risk by increasing her investment in risky assets. (Coauthors: Zheng Chen, Zhongfei Li, Jingyun Sun)

 


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