Alpha-robust mean-variance investment strategy for DC pension plan with uncertainty about jump-diffusion risk

This paper considers an ?-robust optimal investment problem for a defined contribution (DC) pension plan with uncertainty about jump and diffusion risks in mean-variance framework. Our model allows the manager to have different levels of ambiguity aversion, rather than only consider extremely ambiguity-averse attitude. Moreover, DC plan, contributions are supposed be predetermined amount money as premiums funds allowed invested financial market which consists risk-free asset, risky asset satisfying jump-diffusion process. Notice that part members could die during accumulation phase, their should withdrawn. Thus, we return clauses by actuarial method assume surviving will share difference between equally. Taking account fund size volatility accumulation, criterion objective can formulated. By applying game theoretic framework, equilibrium strategies corresponding value functions obtained explicitly. Economic interpretations given numerical simulation, is presented illustrate our results.