报 告 人：李仲飞 教授（中山大学）
报告题目：Pre-Commitment and Equilibrium Investment Strategies for the DC Pension Plan with Regime Switching and a Return of Premiums Clause
报告时间：2018 年5月17日（周四）下午3:30
报告地点：静远楼1506报告厅
报告人简介：
李仲飞，中国科学院管理学博士，中山大学管理学院教授，广东省人文社科重点研究基地中山大学金融工程与风险管理研究中心主任，国家创新研究群体项目获得者，国家杰出青年科学基金获得者，全国模范教师，国务院特殊津贴专家，全国百篇优秀博士学位论文获得者，广东省珠江学者特聘教授，广东省南粤优秀教师。
李仲飞教授曾任中山大学社科处处长、管理学院执行院长、创业学院院长。现兼任国家社会科学基金学科评审组专家，中国投资学专业委员会副理事长，中国优选法统筹法与经济数学研究会常务理事，中国系统工程学会常务理事，中国运筹学会常务理事及其金融工程与金融风险管理分会副理事长，中国管理科学与工程学会常务理事及其金融计量与风险管理分会副理事长，《中国管理科学》、《系统工程理论与实践》、《系统工程学报》、《运筹与管理》、《运筹学学报》、《数理统计与管理》、《科技管理研究》、《创新与管理》、《中山大学学报（社科版）》、Numerical Algebra, Control and Optimization、Journal of Systems Science and Information、Journal of Operations Research Society of China等十多个期刊的领域主编、副主编、常务编委或编委。
报告摘要：
We study an optimal investment problem for a defined-contribution (DC) pension plan during the accumulation phase. During the accumulation phase, a pension member contributes a predetermined amount of money as premiums and the manager of the pension fund invests the premiums in a financial market to increase the value of the accumulation. To protect the rights of pension members who die before retirement, we introduce a return of premiums clause that a member who has died can withdraw all the premiums she has contributed. We assume that the financial market consists of one risk-free asset and multiple risky assets, the returns of the risky assets depend on the market states, the evolution of the market states is described by a Markov chain, and the transition matrixes are time-varying. The pension fund manager aims to maximize the expected terminal wealth of each surviving member at retirement and to minimize the risk measured by the variance of her terminal wealth, which are two conflicting objectives. We formulate the investment problem as a discrete-time mean-variance model. Since the model is time-inconsistent, we seek its pre-commitment and equilibrium strategies. Using the embedding technique and the dynamic programming method, we obtain the pre-commitment strategy and the corresponding efficient frontier in closed-form. Applying the game theory and the extended Bellman equation, we derive the analytical expressions of the equilibrium strategy and the corresponding efficient frontier. Some interesting theoretical and numerical results are found for the two investment strategies, the two efficient frontiers, and the impact of regime switching and the return of premiums clause.