Asset allocation for a DC pension plan with dynamic attention

IF 7.4 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters Pub Date : 2025-05-17 DOI:10.1016/j.frl.2025.107513

Xingchun Peng , Shiqi Fan

引用次数: 0

Abstract

We investigate the optimal investment and dynamic attention allocation strategies of DC pension plan. The market price of stock risk is an affine function of observable and unobservable factors. The fund manager can acquire news signal to improve the predictability of stock returns with costs. The optimal strategies are derived explicitly. Through numerical analysis, we find that if the fund manager can get access to news information with rational costs, she is inclined to increase the proportion of investment in stocks. Moreover, the minimum guarantee constraint has an inhibitory effect on the impact of dynamic information on investment strategies.

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动态关注的固定缴款养老金计划的资产配置

研究了固定缴款养老金计划的最优投资和动态注意力分配策略。股票风险的市场价格是可观测因素和不可观测因素的仿射函数。基金经理可以获取新闻信号，以一定的成本提高股票收益的可预测性。明确地推导了最优策略。通过数值分析，我们发现，如果基金经理能够以合理的成本获得新闻信息，她倾向于增加股票的投资比例。最小保证约束对动态信息对投资策略的影响具有抑制作用。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

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