Multi-period defined contribution pension funds investment management with regime-switching and mortality risk ☆

@inproceedings{Yao2016MultiperiodDC,
  title={Multi-period defined contribution pension funds investment management with regime-switching and mortality risk ☆},
  author={Haixiang Yao and Ping 陈平 Chen and Xun Li},
  year={2016}
}
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… CONTINUE READING