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.
Authors
- Hongmin Xiao
- Xiwen Wang
- Chen Wang (ORCID: https://orcid.org/0000-0003-4773-7168)
- Zhuang Cui
Institutions
- Northwest Normal University (CN)
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