Pension portfolio under complete market and uncertainty risk
To better fit the actual financial market and provide optimal investment strategy for an ambiguity-averse pension investor,we derive a robust dynamic derivative strategies in a semi-closed form by integrating the uncertainty of price diffusion,volatility diffusion and the jump process into the traditional stock market with rare events to capture these events more accurately.Through numerical analysis,we abtain the following conclusions:given a larger volatility jump size,investors tend to increase their exposures to price and volatility and decrease their exposure to market jumps during downward price jumps.In the case of large volatility jumps,investors tend to increase their exposure to prices and volatility,and reduce their exposure to market jumps when prices decline.The optimal exposures of stocks and volatility risk are most significantly affected by investors'ambiguity aversion to stock prices and volatility risk factors,respectively,while the optimal exposure of market jump risk is significantly affected by investors'ambiguity aversion to volatility and rare event risk factors.
pension planportfoliocomplete marketuncertainty riskrare eventsstochastic volatilityambiguity aversionsalary process
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维普
