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5. Time-consistent investment strategy for DC pension scheme with partial information and mean-variance

Time-consistent investment strategy for DC pension scheme with partial information and mean-variance

来源 :中国系统工程学会 | 被引量 : 0次 | 上传用户：zjxtlgj

【摘 要】

：

This paper studies a mean-variance portfolio selection problem with partial information for a defined contribution(DC)pension scheme.We assume that the managers of pension funds can only observe the r

【作 者】

：

Yongwu Li Shouyang Wang Yan Zeng 

【机 构】

：

Institute of Systems Science,Academy of Mathematics and Systems Science,Chinese Academy of Sciences

【出 处】

：

中国系统工程学会

【发表日期】

：

2015年3期

【关键词】

：

Time-consistent Investment Strategy DC Pension Scheme Mean-Variance Criterion 

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论文部分内容阅读

　　This paper studies a mean-variance portfolio selection problem with partial information for a defined contribution(DC)pension scheme.We assume that the managers of pension funds can only observe the risky asset price but not the risky asset return(drift)in the financial market.

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