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Asset allocation for a DC pension plan with dynamic attention

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  • Peng, Xingchun
  • Fan, Shiqi

Abstract

We investigate the optimal investment and dynamic attention allocation strategies of DC pension plan. The market price of stock risk is an affine function of observable and unobservable factors. The fund manager can acquire news signal to improve the predictability of stock returns with costs. The optimal strategies are derived explicitly. Through numerical analysis, we find that if the fund manager can get access to news information with rational costs, she is inclined to increase the proportion of investment in stocks. Moreover, the minimum guarantee constraint has an inhibitory effect on the impact of dynamic information on investment strategies.

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  • Peng, Xingchun & Fan, Shiqi, 2025. "Asset allocation for a DC pension plan with dynamic attention," Finance Research Letters, Elsevier, vol. 82(C).
    • Handle: RePEc:eee:finlet:v:82:y:2025:i:c:s154461232500772x
    DOI: 10.1016/j.frl.2025.107513
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