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

Zongqi Sun; Peng Yang; Ying Wang; Jing Lu; Zongqi Sun; Peng Yang; Ying Wang; Jing Lu

doi:10.3934/math.20241713

AIMS Mathematics

2024, Volume 9, Issue 12: 36102-36115. doi: 10.3934/math.20241713

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Research article

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

1.
School of Computer Science, Xijing University, Xi'an, Shaanxi 710123, China
2.
School of Mathematics, Xi'an University of Finance and Economics, Xi'an, Shaanxi 710048, China

Received: 23 October 2024 Revised: 02 December 2024 Accepted: 11 December 2024 Published: 26 December 2024
MSC : 91B05, 91G05

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.
- modified squared loss criterion,
- penalty coefficient,
- wealth management expense,
- HJB equation,
- optimal investment strategy,
- minimum loss function
Citation: Zongqi Sun, Peng Yang, Ying Wang, Jing Lu. Research on the wealth management fees of defined contribution pensions during the pre-retirement stage[J]. AIMS Mathematics, 2024, 9(12): 36102-36115. doi: 10.3934/math.20241713

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Abstract

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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