金融工程研究中心学术报告:Robust Equilibrium Control-measure Policy for a DC Pension Plan with State-dependent Risk Aversion under Mean-variance Criterion

报告人:陈志平 教授,西安交通大学 数学与统计学院

时间2019.08.28(周三) 14:30-15:30


摘要In reality, when facing a defined contribution (DC) pension fund investment problem, the fund manager may not have sufficient confidence in the reference model and rather considers some similar alternative models. In this paper, we investigate the robust equilibrium control-measure policy for an ambiguity-averse and risk-averse fund manger under the mean-variance (MV) criterion. The ambiguity aversion is introduced by adopting the model uncertainty robustness framework developed by Anderson. The risk aversion model is state-dependent, and takes a linear form of the current wealth level after contribution. Moreover, the fund manager faces stochastic labor income risk and allocates his wealth among a risk-free asset and a risky asset. We also propose two complicated ambiguity preference functions which are economically meaningful and facilitate analytical tractability. Due to the time-inconsistency of the resulting stochastic control problem, we attack it by using the game theoretical framework and the concept of subgame perfect Nash equilibrium. The extended Hamilton-Jacobi-Bellman-Isaacs (HJBI) equations and the verification theorem for our problem are established. The explicit expressions for the robust equilibrium policy and the corresponding robust equilibrium value function are derived by stochastic control technique. In addition, we discuss two special cases of our model, which shows that our results extend some existing works in the literature. Finally, some numerical experiments are conducted to demonstrate the effects of model parameters on our robust equilibrium policy.


陈志平,英国剑桥大学博士后,西安交通大学数学与统计学院教授、博士生导师。长期从事随机规划理论及其应用、分布式鲁棒优化、金融风险度量与投资分析等领域的研究,在SIAM Journal on OptimizationJournal of Optimization Theory and Applications, European Journal of Operational ResearchsJournal of Banking Finance, Journal of Economic Dynamics and Control, Insurance: Mathematics and Economics等运筹学、经济与金融期刊发表SCISSCI)检索论文60余篇。所主持批准号为70971109的国家自然科学基金项目在结题项目绩效评估中被评为特优。现为《OR Spectrum》编委,《Big Data and Information Analytics》编委、《工程数学学报》编委、编辑部主任;现任中国运筹学会金融工程与金融风险管理分会副会长、常务理事,中国管理科学与工程学会金融计量与风险管理研究会常务理事,担任西安交通大学西安数学与数学技术研究院常务副院长、国家天元数学西北中心副主任。


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