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dc.contributor.authorZeng, Yan
dc.contributor.authorLi, Danping
dc.contributor.authorChen, Zheng
dc.contributor.authorYang, Zhou 13:41:56 (GMT) 13:41:56 (GMT)
dc.descriptionThe final publication is available at Elsevier via © 2018. This manuscript version is made available under the CC-BY-NC-ND 4.0 license
dc.description.abstractThis paper provides a derivative-based optimal investment strategy for an ambiguity-adverse pension investor who faces not only risks from time-varying income and market return volatility but also uncertain economic conditions over a long time horizon. We derive a robust dynamic derivative strategy and show that the optimal strategy under ambiguity aversion reduces the exposures to market return risk and volatility risk and that the investor holds opposite positions for the two risk exposures. In the presence of a derivative, ambiguity has distinct effects on the optimal investment strategy. More important, we demonstrate the utility improvement when considering ambiguity and exploiting derivatives and show that ambiguity aversion and derivative trading significantly improve utility when return volatility increases. This improvement becomes more significant under ambiguity aversion over a long investment horizon.en
dc.description.sponsorshipNational Natural Science Foundation of China under Grant [71771220, 71721001, 71571195, 11371155, 11326199, 11771158]en
dc.description.sponsorshipMajor Program of the National Social Science Foundation of China [No. 17ZDA073]en
dc.description.sponsorshipFok Ying Tung Education Foundation for Young Teachers in the Higher Education Institutions of China [No. 151081]en
dc.description.sponsorshipGuangdong Natural Science Foundation for Research Team [No. 2014A030312003]en
dc.description.sponsorshipGuangdong Natural Science Funds for Distinguished Young Scholars [No. 2015A030306040]en
dc.description.sponsorshipNatural Science Foundation of Guangdong Province of China [No. 2014A030310195]en
dc.description.sponsorshipInsurance Society of China [No. ISCKT2016-N-l-07]en
dc.rightsAttribution-NonCommercial-NoDerivatives 4.0 International*
dc.subjectDC pension planen
dc.subjectRobust portfolio choiceen
dc.subjectStochastic salaryen
dc.subjectStochastic volatilityen
dc.titleAmbiguity aversion and optimal derivative-based pension investment with stochastic income and volatilityen
dcterms.bibliographicCitationZeng, Y., Li, D., Chen, Z., & Yang, Z. (2018). Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility. Journal of Economic Dynamics and Control, 88, 70–103.
uws.contributor.affiliation1Faculty of Mathematicsen
uws.contributor.affiliation2Statistics and Actuarial Scienceen

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