| Title | Portfolio choice with illiquid asset for a loss-averse pension fund investor |
| Author | |
| Corresponding Author | Li，Zhongfei |
| Publication Years | 2023
|
| DOI | |
| Source Title | |
| ISSN | 0167-6687
|
| EISSN | 1873-5959
|
| Volume | 108Pages:60-83 |
| Abstract | 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. |
| Keywords | |
| URL | [Source Record] |
| Indexed By | |
| Language | English
|
| SUSTech Authorship | Corresponding
|
| Funding Project | 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];
|
| WOS Research Area | Business & Economics
; Mathematics
; Mathematical Methods In Social Sciences
|
| WOS Subject | Economics
; Mathematics, Interdisciplinary Applications
; Social Sciences, Mathematical Methods
; Statistics & Probability
|
| WOS Accession No | WOS:000891280400003
|
| Publisher | |
| ESI Research Field | ECONOMICS BUSINESS
|
| Scopus EID | 2-s2.0-85142121484
|
| Data Source | Scopus
|
| Citation statistics |
Cited Times [WOS]:0
|
| Document Type | Journal Article |
| Identifier | http://kc.sustech.edu.cn/handle/2SGJ60CL/412544 |
| Department | Department of Finance |
| Affiliation | 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 |
| Corresponding Author Affilication | Department of Finance |
| Recommended Citation 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.
|
| 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.
|
| Files in This Item: | There are no files associated with this item. | |||||
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