PhD Defence Li Yang

Keywords: Benchmark-driven investment,  state-dependent utility, stochastic optimal control, underfunded starting position
 

"Essays on Benchmark-driven Investment in Mathematical Finance"

This dissertation concerns optimization problems with regard to portfolio choice, particularly in the pension industry when the level of initial (augmented) funding is lower than the market price for a desired benchmark. It investigates how benchmarks, non-constant relative risk aversions influence investment strategies in pension plans. It shows that these investment strategies have a significant impact on the pension industry by aligning investment decisions with predefined retirement goals. By using benchmarks, these strategies adjust investment risk depending on how far the member is from their goal. This approach increases the likelihood of achieving financial security at retirement and provides more predictable outcomes for pension participants.

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