Research on the wealth management fees of defined contribution pensions during the pre-retirement stage

In this paper, by enhancing the penalty coefficient, the general square loss criterion was modified into a novel criterion to more precisely identify risks and returns. Then, under this criterion, the ideal asset allocation for pension fund participants was investigated considering wealth management...

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Main Authors: Zongqi Sun, Peng Yang, Ying Wang, Jing Lu
Format: Article
Language:English
Published: AIMS Press 2024-12-01
Series:AIMS Mathematics
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Online Access:https://www.aimspress.com/article/doi/10.3934/math.20241713
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author Zongqi Sun
Peng Yang
Ying Wang
Jing Lu
author_facet Zongqi Sun
Peng Yang
Ying Wang
Jing Lu
author_sort Zongqi Sun
collection DOAJ
description In this paper, by enhancing the penalty coefficient, the general square loss criterion was modified into a novel criterion to more precisely identify risks and returns. Then, under this criterion, the ideal asset allocation for pension fund participants was investigated considering wealth management fees before retirement. Then, the Hamilton-Jacobi-Bellman (HJB) equation was formulated through the dynamic programming approach, and both the optimal investment strategy and minimum loss function were determined using calculus methods. Finally, how important parameters affect the initial optimal investment strategy and minimum loss function was analyzed, their economic implications were explained, the rationality of the model was validated, and several recommendations for management were provided.
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institution Kabale University
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publisher AIMS Press
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series AIMS Mathematics
spelling doaj-art-21c790b759a44c51aef5ce550e0ad5e02025-01-23T07:53:25ZengAIMS PressAIMS Mathematics2473-69882024-12-01912361023611510.3934/math.20241713Research on the wealth management fees of defined contribution pensions during the pre-retirement stageZongqi Sun0Peng Yang1Ying Wang2Jing Lu3School of Computer Science, Xijing University, Xi'an, Shaanxi 710123, ChinaSchool of Mathematics, Xi'an University of Finance and Economics, Xi'an, Shaanxi 710048, ChinaSchool of Computer Science, Xijing University, Xi'an, Shaanxi 710123, ChinaSchool of Computer Science, Xijing University, Xi'an, Shaanxi 710123, ChinaIn this paper, by enhancing the penalty coefficient, the general square loss criterion was modified into a novel criterion to more precisely identify risks and returns. Then, under this criterion, the ideal asset allocation for pension fund participants was investigated considering wealth management fees before retirement. Then, the Hamilton-Jacobi-Bellman (HJB) equation was formulated through the dynamic programming approach, and both the optimal investment strategy and minimum loss function were determined using calculus methods. Finally, how important parameters affect the initial optimal investment strategy and minimum loss function was analyzed, their economic implications were explained, the rationality of the model was validated, and several recommendations for management were provided.https://www.aimspress.com/article/doi/10.3934/math.20241713modified squared loss criterionpenalty coefficientwealth management expensehjb equationoptimal investment strategyminimum loss function
spellingShingle Zongqi Sun
Peng Yang
Ying Wang
Jing Lu
Research on the wealth management fees of defined contribution pensions during the pre-retirement stage
AIMS Mathematics
modified squared loss criterion
penalty coefficient
wealth management expense
hjb equation
optimal investment strategy
minimum loss function
title Research on the wealth management fees of defined contribution pensions during the pre-retirement stage
title_full Research on the wealth management fees of defined contribution pensions during the pre-retirement stage
title_fullStr Research on the wealth management fees of defined contribution pensions during the pre-retirement stage
title_full_unstemmed Research on the wealth management fees of defined contribution pensions during the pre-retirement stage
title_short Research on the wealth management fees of defined contribution pensions during the pre-retirement stage
title_sort research on the wealth management fees of defined contribution pensions during the pre retirement stage
topic modified squared loss criterion
penalty coefficient
wealth management expense
hjb equation
optimal investment strategy
minimum loss function
url https://www.aimspress.com/article/doi/10.3934/math.20241713
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AT jinglu researchonthewealthmanagementfeesofdefinedcontributionpensionsduringthepreretirementstage