Optimal portfolios for the DC pension fund with mispricing under the HARA utility framework

<p style='text-indent:20px;'>This paper studies the optimal portfolio selection for defined contribution (DC) pension fund with mispricing. We adopt general hyperbolic absolute risk averse (HARA) utility to describe performance of managers. The financial market comprises a risk-free asset, pair mispriced stocks, and index. Using dynamic programming approach, we construct Hamilton-Jacobi-Bellman (HJB) equation obtain explicit expressions choices two methods. Finally, numerical analysis is presented illustrate sensitivity portfolios parameters process. <b>200</b> words.</p>