Optimal investment strategy of DC pension plans for uncertain systems with jump under Hurwicz criterion

This paper establishes a new optimal control model for a jump-discontinuous uncertain system within the framework of uncertainty theory. It investigates the optimal investment strategy for a DC pension plan subject to uncertain wages and inflation risks, using the Hurwicz weighted average minimization of a quadratic loss function as the optimization criterion. By employing uncertain stochastic dynamic programming methods, the paper derives explicit expressions for the optimal investment strategy and optimal payout rate of the pension plan. Finally, we provide some numerical simulations to analyze the impact of model parameters on the optimal investment strategy and payout rate.

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Publication Details

Journal
Communication in Statistics- Theory and Methods
Published
2026-09-25
DOI
https://doi.org/10.1080/03610926.2026.2733749
Primary Topic
Risk and Portfolio Optimization
Type
article
Field-Weighted Citation Impact
0.00
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Optimal investment strategy of DC pension plans for uncertain systems with jump under Hurwicz criterion

Hongmin Xiao, Xiwen Wang, Chen Wang, Zhuang Cui
Communication in Statistics- Theory and Methods
Risk and Portfolio Optimization
article

Optimal investment strategy of DC pension plans for uncertain systems with jump under Hurwicz criterion

Hongmin Xiao, Xiwen Wang, Chen Wang, Zhuang Cui
article en

Abstract

This paper establishes a new optimal control model for a jump-discontinuous uncertain system within the framework of uncertainty theory. It investigates the optimal investment strategy for a DC pension plan subject to uncertain wages and inflation risks, using the Hurwicz weighted average minimization of a quadratic loss function as the optimization criterion. By employing uncertain stochastic dynamic programming methods, the paper derives explicit expressions for the optimal investment strategy and optimal payout rate of the pension plan. Finally, we provide some numerical simulations to analyze the impact of model parameters on the optimal investment strategy and payout rate.

Communication in Statistics- Theory and Methods
Northwest Normal University (CN)
Decent work and economic growth
Openalex Percentile: Top 7%
Risk and Portfolio Optimization
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