Optimal Pension Fund Management with Foreign Investment in a Stochastic Environment

Mei Ling Tang, Ting Pin Wu, Ming Chin Hung

研究成果: 雜誌貢獻期刊論文同行評審

1 引文 斯高帕斯(Scopus)


To ensure the success of a pension plan under a self-contained defined contribution (DC) retirement plan, the inclusion of foreign assets in a local pension portfolio could be beneficial for risk diversification and the efficient improvement of a fund’s investment performance during its accumulation phase. This study focuses on developing international asset allocation criteria for a DC pension plan; accordingly, we consider risk exposure relative to stochastic interest rates and ex- change rates with minimum guarantees. An arbitrage-free framework, namely, the cross-currency Heath–Jarrow–Morton interest rate model, is introduced in dynamic optimization programming for the DC pension fund. The proposed solution based on the generalized stochastic framework provides tractable and appropriate criteria for the dynamic allocation of a DC pension fund. The constituents of the optimal solution can reflect changes in investment lifecycles and shifts in risk preferences during the accumulation phase of a DC pension plan.

出版狀態已出版 - 7月 2022


深入研究「Optimal Pension Fund Management with Foreign Investment in a Stochastic Environment」主題。共同形成了獨特的指紋。