Robust portfolio choice for a DC pension plan with inflation risk and mean-reverting risk premium under ambiguity

Optimization ◽  
2019 ◽  
Vol 70 (1) ◽  
pp. 191-224
Author(s):  
Pei Wang ◽  
Zhongfei Li ◽  
Jingyun Sun
Keyword(s):  
Portfolio Choice ◽  
Risk Premium ◽  
Pension Plan ◽  
Inflation Risk ◽  
Robust Portfolio

scholarly journals A New Approach to Gauging Inflation Expectations

2009 ◽  
pp. 1-4
Author(s):  
Joseph G. Haubrich
Keyword(s):  
Interest Rates ◽  
Risk Premium ◽  
New Method ◽  
Inflation Expectations ◽  
Real Interest Rates ◽  
Inflation Risk ◽  
New Approach ◽  
Expected Inflation ◽  
Inflation Risk Premium

This Economic Commentary explains a relatively new method of uncovering inflation expectations, real interest rates, and an inflation-risk premium. It provides estimates of expected inflation from one month to 30 years, an estimate of the inflation-risk premium, and a measure of real interest rates, particularly a short (one-month) rate, which is not readily available from the TIPS market. Calculations using the method suggest that longer-term inflation expectations remain near historic lows. Furthermore, the inflation-risk premium is also low, which in the model means that inflation is not expected to deviate far from expectations.

Continuous-Time Topics

2017 ◽  
Author(s):  
Kerry E. Back
Keyword(s):  
Portfolio Choice ◽  
Risk Premium ◽  
Cash Flows ◽  
Jump Processes ◽  
Portfolio Risk ◽  
Continuous Part ◽  
Jump Risks ◽  
Complete Market ◽  
Risk Neutral Probabilities ◽  
Premium Puzzle

The fundamental PDE for valuing cash flows or cash flow streams is explained. In a complete market, an investor’s optimal wealth satisfies the fundamental PDE, and this provides a means of calculating the optimal portfolio. Risk neutral probabilities and Girsanov’s theorem are explained. Jump processes, including Poisson processes, are introduced. The risk premium of an asset with jump risks depends on covariation of its continuous part with the continuous part of an SDF and the covariation of its discontinuous part with the discontinuous part of an SDF. Portfolio choice with internal habits is characterized. The ability of a representative investor model with an internal habit to explain the equity premium puzzle is discussed.

Robust portfolio choice with derivative trading under stochastic volatility

2015 ◽  
Vol 61 ◽  
pp. 142-157 ◽  
Author(s):  
Marcos Escobar ◽  
Sebastian Ferrando ◽  
Alexey Rubtsov
Keyword(s):  
Stochastic Volatility ◽  
Portfolio Choice ◽  
Robust Portfolio
Sign in / Sign up

Export Citation Format

Share Document