Search

In this article, we consider the optimal investment problem for a defined contribution (DC) pension plan with mispricing. We assume that the pension funds are allowed to invest in a risk-free asset, a market index, and a risky asset with mispricing, i.e. the prices are inconsistent in different financial markets. Assuming that the price process of the risky asset follows the Heston model, the manager of the pension fund aims to maximize the expected utility for the power utility function of terminal wealth. By applying stochastic control theory, we establish the corresponding Hamilton-Jacobi-Bellman (HJB) equation. And the optimal investment strategy is obtained for the power utility function explicitly. Finally, numerical examples are provided to analyze effects of parameters on the optimal strategy. [ABSTRACT FROM AUTHOR]

This article applies the concepts of the financial-subject and micro-foundation of financialisation to young workers' experiences with Hong Kong's financialised pension regime. The results of our qualitative analysis show that many respondents doubt and belittle their financial investment for retirement. In response to the compulsory investment required by the government and the fact that their aspirations for security in later life seemed unfulfilled, some young workers undertook 'uninformed' investment and 'age-led' risk taking. The findings also show that employment precarity translates into investment precarity owing to workers' unstable incomes and contributions; labour inequalities are reflected in financial inequalities. Arguably, the neoliberal crafting of the young financial-subject, including constructions of financial irresponsibility, irrationality, and illiteracy, is fraught with tensions, turning workers into investors and using finance to satisfy socio-economic needs. It contributes to social policy studies by connecting selfhood and institutions, and calls for questions about the future of financialised pensions. [ABSTRACT FROM AUTHOR]

This article studies the formation and reform of China’s pension system with special attention paid to the basic pension system for urban enterprise employees, government and public agency employees and urban and rural residents. Reviewing the historical development of China’s basic pension system after the 1950s, the article examines the current reforms and discusses the major concerns and challenges in detail. Finally, general assessment and policy options have been recommended to guide policymakers and to advance further social security research. [ABSTRACT FROM AUTHOR]

This paper provides evidence that pension regulations can incentivize or curb risk shifting in the investment of defined benefit plan assets. We document that in the US, where the pension insurance premium charged by the Pension Benefit Guaranty Corporation is largely flat, financially distressed firms with severely underfunded plans shift pension investment risk. We further find that risk shifting is mitigated in the UK after the implementation of risk-adjusted pension insurance premiums, and in the Netherlands where full pension funding is mandatory. Overall the results in this paper lend support to the view that structural flaws in the US statutory pension insurance scheme incentivize high-risk sponsors to gamble their pension assets when distress terminations of their plans become foreseeable. [ABSTRACT FROM AUTHOR]

Abstract: In this paper, on the basis of Newton’s method, we propose a fast quasilinearization numerical scheme, coupled with Rothe’s method, for fully nonlinear parabolic equations. General conditions that provide quadratic, uniform and monotone convergence of the quasilinearization method (QLM) of solving fully nonlinear ordinary differential equations that arise on each time level, are formulated and elaborated. The convergence of QLM and its rate are examined numerically, on a simple test example with an exact solution. The first few iterations already provide extremely accurate and stable numerical results. The second goal is to consider three applications of the proposed schemes in financial mathematics. Namely, numerical results for three nonlinear problems of optimal investment are presented and discussed. The numerical experiments of the last problem are based on the data from statistic information of the Bulgarian National Bank and Bratislava Interbank. [Copyright &y& Elsevier]