| 题名 | Portfolio choice with illiquid asset for a loss-averse pension fund investor |
| 作者 | |
| 通讯作者 | Li，Zhongfei |
| 发表日期 | 2023
|
| DOI | |
| 发表期刊 | |
| ISSN | 0167-6687
|
| EISSN | 1873-5959
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| 卷号 | 108页码:60-83 |
| 摘要 | This paper explores the optimization of liquid and illiquid assets investment for a defined contribution (DC) pension plan and investigates the impact of illiquidity on portfolio choice. In addition to three kinds of liquid assets, there is an illiquid asset that can only be traded at time 0, and it provides returns at retirement. The investor exhibits both risk-seeking and loss-averse behaviors, with S-shaped utility from the return on investment at retirement. In the long run, the investor also faces the risks caused by the time-varying income and inflation. The martingale method is adopted first to analyze the characteristics of the optimal investment strategy in a complete market. Then the optimal illiquid asset trading strategy is identified and determined. The results are proven to be applicable in a variety of market model settings through some extended analyses. Finally, several numerical findings are illustrated. |
| 关键词 | |
| 相关链接 | [Scopus记录] |
| 收录类别 | |
| 语种 | 英语
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| 学校署名 | 通讯
|
| 资助项目 | National Natural Science Foundation of China[12271171];National Social Science Fund of China[21AZD071];National Natural Science Foundation of China[71721001];National Natural Science Foundation of China[71771220];National Natural Science Foundation of China[71991474];National Natural Science Foundation of China[72001219];
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| WOS研究方向 | Business & Economics
; Mathematics
; Mathematical Methods In Social Sciences
|
| WOS类目 | Economics
; Mathematics, Interdisciplinary Applications
; Social Sciences, Mathematical Methods
; Statistics & Probability
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| WOS记录号 | WOS:000891280400003
|
| 出版者 | |
| ESI学科分类 | ECONOMICS BUSINESS
|
| Scopus记录号 | 2-s2.0-85142121484
|
| 来源库 | Scopus
|
| 引用统计 |
被引频次[WOS]：4
|
| 成果类型 | 期刊论文 |
| 条目标识符 | http://sustech.caswiz.com/handle/2SGJ60CL/412544 |
| 专题 | 商学院_金融系 |
| 作者单位 | 1.School of Management,Guangdong University of Technology,Guangzhou,510520,China 2.Department of Finance,Southern University of Science and Technology,Shenzhen,518055,China 3.Lingnan College,Sun Yat-sen University,Guangzhou,510275,China |
| 通讯作者单位 | 金融系 |
| 推荐引用方式 GB/T 7714 |
Chen，Zheng,Li，Zhongfei,Zeng，Yan. Portfolio choice with illiquid asset for a loss-averse pension fund investor[J]. INSURANCE MATHEMATICS & ECONOMICS,2023,108:60-83.
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| APA |
Chen，Zheng,Li，Zhongfei,&Zeng，Yan.(2023).Portfolio choice with illiquid asset for a loss-averse pension fund investor.INSURANCE MATHEMATICS & ECONOMICS,108,60-83.
|
| MLA |
Chen，Zheng,et al."Portfolio choice with illiquid asset for a loss-averse pension fund investor".INSURANCE MATHEMATICS & ECONOMICS 108(2023):60-83.
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| 条目包含的文件 | 条目无相关文件。 | |||||
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