The Optimal Strategy to Research Pension Funds in China Based on the Loss Function

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Jian-wei Gao; Hong-zhen Guo; Yan-cheng Ye;
  • Publisher: Ubiquity Press
  • Journal: Data Science Journal (issn: 1683-1470, eissn: 1683-1470)
  • Publisher copyright policies & self-archiving
  • Related identifiers: doi: 10.2481/dsj.6.S603
  • Subject: Pension funds | Stochastic optimal control | Loss function | Actuarial present value; Pension funds; Fund growth strategy; Investment strategy; Stochastic optimal control; Loss function; Hamilton-Jacobi-Bellman equation | Fund growth strategy | Investment strategy | Science (General) | Q1-390 | Actuarial present value | Hamilton-Jacobi-Bellman equation

Based on the theory of actuarial present value, a pension fund investment goal can be formulated as an objective function. The mean-variance model is extended by defining the objective loss function. Furthermore, using the theory of stochastic optimal control, an optima... View more
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