Abstract
| Language | English |
|---|---|
| Pages | S361-S377 |
| Number of pages | 17 |
| Journal | European actuarial journal : Selected papers presented during the 19th IAA AFIR Colloquium in Munich, Germany, 2009 |
| Volume | 1 |
| Issue number | Suppl. 2 |
| DOIs | |
| Publication status | Published - 2011 |
| Event | IAA AFIR Colloquium (19th : 2009) - Munich, Germany Duration: 9 Sep 2009 → 11 Sep 2009 |
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Keywords
- Defined contribution pension
- Portfolio selection
- Regime switching
- Hidden Markov chain
- Partial observations
- Innovation approach
- Filtering
- EM algorithm
- Estimation
- Control
Cite this
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Asset allocation for a DC pension fund under regime switching environment. / Korn, Ralf; Siu, Tak Kuen; Zhang, Aihua.
In: European actuarial journal : Selected papers presented during the 19th IAA AFIR Colloquium in Munich, Germany, 2009, Vol. 1, No. Suppl. 2, 2011, p. S361-S377.Research output: Contribution to journal › Conference paper › Research › peer-review
TY - JOUR
T1 - Asset allocation for a DC pension fund under regime switching environment
AU - Korn, Ralf
AU - Siu, Tak Kuen
AU - Zhang, Aihua
PY - 2011
Y1 - 2011
N2 - We consider the portfolio selection problem of a member of a defined contribution pension plan in a hidden Markov-modulated economy modulated by a continuous-time, finite-state, hidden Markov chain whose states represent different hidden states of the underlying economy. The evolution of the chain over time is not observable by the member. We consider the situation that the member aims to maximize the expected utility from terminal wealth. This utility maximization problem of the member is a stochastic optimal control problem with partial observations. We adopt the innovations approach in filtering theory to transform the problem into one with complete observations. We develop a robust filter for the hidden state of the economy and present a robust-filter-based EM algorithm for estimating the unknown parameters.
AB - We consider the portfolio selection problem of a member of a defined contribution pension plan in a hidden Markov-modulated economy modulated by a continuous-time, finite-state, hidden Markov chain whose states represent different hidden states of the underlying economy. The evolution of the chain over time is not observable by the member. We consider the situation that the member aims to maximize the expected utility from terminal wealth. This utility maximization problem of the member is a stochastic optimal control problem with partial observations. We adopt the innovations approach in filtering theory to transform the problem into one with complete observations. We develop a robust filter for the hidden state of the economy and present a robust-filter-based EM algorithm for estimating the unknown parameters.
KW - Defined contribution pension
KW - Portfolio selection
KW - Regime switching
KW - Hidden Markov chain
KW - Partial observations
KW - Innovation approach
KW - Filtering
KW - EM algorithm
KW - Estimation
KW - Control
U2 - 10.1007/s13385-011-0021-5
DO - 10.1007/s13385-011-0021-5
M3 - Conference paper
VL - 1
SP - S361-S377
JO - European actuarial journal : Selected papers presented during the 19th IAA AFIR Colloquium in Munich, Germany, 2009
T2 - European actuarial journal : Selected papers presented during the 19th IAA AFIR Colloquium in Munich, Germany, 2009
JF - European actuarial journal : Selected papers presented during the 19th IAA AFIR Colloquium in Munich, Germany, 2009
SN - 2190-9741
IS - Suppl. 2
ER -