{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,5,2]],"date-time":"2026-05-02T06:31:42Z","timestamp":1777703502005,"version":"3.51.4"},"reference-count":59,"publisher":"SAGE Publications","issue":"4","license":[{"start":{"date-parts":[[2018,4,19]],"date-time":"2018-04-19T00:00:00Z","timestamp":1524096000000},"content-version":"tdm","delay-in-days":0,"URL":"https:\/\/journals.sagepub.com\/page\/policies\/text-and-data-mining-license"}],"content-domain":{"domain":["journals.sagepub.com"],"crossmark-restriction":true},"short-container-title":["Journal of Intelligent &amp; Fuzzy Systems"],"published-print":{"date-parts":[[2018,4,19]]},"abstract":"<jats:p>This paper applies uncertainty theory to the asset allocation problem for a defined contribution pension fund under a multi-period mean-variance framework. Different from most studies in the literature, both the security return and the salary are considered and assumed to be uncertain variables in this paper. The optimal portfolio adjustments are determined by minimizing the risk within the constraints of controlling the expected total incremental wealth with a minimum guarantee over the investment horizon. The transaction cost is also taken into account to simulate the real capital market. Finally, some special cases are discussed, and a numerical example is presented to illustrate the effectiveness of the model we proposed.<\/jats:p>","DOI":"10.3233\/jifs-171440","type":"journal-article","created":{"date-parts":[[2018,4,20]],"date-time":"2018-04-20T11:07:33Z","timestamp":1524222453000},"page":"2363-2371","update-policy":"https:\/\/doi.org\/10.1177\/sage-journals-update-policy","source":"Crossref","is-referenced-by-count":6,"title":["Portfolio selection of the defined contribution pension fund with uncertain return and salary: A multi-period mean-variance model"],"prefix":"10.1177","volume":"34","author":[{"given":"Yali","family":"Liu","sequence":"first","affiliation":[{"name":"School of Economics and Management, Beihang University, Beijing, China"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Meiying","family":"Yang","sequence":"additional","affiliation":[{"name":"School of Economics and Management, Beihang University, Beijing, China"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Jia","family":"Zhai","sequence":"additional","affiliation":[{"name":"School of Economics and Management, Beihang University, Beijing, China"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Manying","family":"Bai","sequence":"additional","affiliation":[{"name":"School of Economics and Management, Beihang University, Beijing, China"}],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"179","published-online":{"date-parts":[[2018,4,19]]},"reference":[{"key":"e_1_3_2_2_2","doi-asserted-by":"publisher","DOI":"10.1007\/s41066-016-0022-5"},{"key":"e_1_3_2_3_2","doi-asserted-by":"publisher","DOI":"10.1007\/s41066-015-0004-z"},{"key":"e_1_3_2_4_2","doi-asserted-by":"publisher","DOI":"10.1007\/s41066-016-0018-1"},{"issue":"5","key":"e_1_3_2_5_2","first-page":"1212","article-title":"Optimal management under stochastic interest rates: The case of a protected pension fund","volume":"87","author":"Boulier J.","year":"2008","unstructured":"BoulierJ., HuangS. and TaillardG., Optimal management under stochastic interest rates: The case of a protected pension fund, American Journal of Clinical Nutrition 87(5) (2008), 1212\u20131218.","journal-title":"American Journal of Clinical Nutrition"},{"key":"e_1_3_2_6_2","unstructured":"BattocchioP. Optimal portfolio strategies with stochastic wage income: The case of a defined contribution pension plan Working Paper CeRP No. 19-02Torino 2002."},{"key":"e_1_3_2_7_2","doi-asserted-by":"publisher","DOI":"10.1257\/aer.91.1.79"},{"key":"e_1_3_2_8_2","doi-asserted-by":"publisher","DOI":"10.1016\/S0167-6687(00)00073-1"},{"key":"e_1_3_2_9_2","doi-asserted-by":"publisher","DOI":"10.1007\/s41066-016-0029-y"},{"key":"e_1_3_2_10_2","doi-asserted-by":"publisher","DOI":"10.1016\/j.jedc.2005.03.009"},{"key":"e_1_3_2_11_2","doi-asserted-by":"publisher","DOI":"10.1016\/j.automatica.2008.02.007"},{"key":"e_1_3_2_12_2","doi-asserted-by":"publisher","DOI":"10.1016\/j.ins.2010.05.008"},{"key":"e_1_3_2_13_2","doi-asserted-by":"publisher","DOI":"10.1109\/3477.537318"},{"key":"e_1_3_2_14_2","doi-asserted-by":"publisher","DOI":"10.1109\/3477.969496"},{"key":"e_1_3_2_15_2","doi-asserted-by":"publisher","DOI":"10.1016\/j.eswa.2010.09.046"},{"key":"e_1_3_2_16_2","doi-asserted-by":"publisher","DOI":"10.1016\/j.eswa.2010.09.048"},{"key":"e_1_3_2_17_2","doi-asserted-by":"publisher","DOI":"10.1016\/j.eswa.2011.04.163"},{"key":"e_1_3_2_18_2","doi-asserted-by":"publisher","DOI":"10.1002\/int.20145"},{"key":"e_1_3_2_19_2","doi-asserted-by":"publisher","DOI":"10.1016\/j.ins.2013.06.005"},{"key":"e_1_3_2_20_2","doi-asserted-by":"publisher","DOI":"10.1016\/j.eswa.2009.02.085"},{"key":"e_1_3_2_21_2","doi-asserted-by":"publisher","DOI":"10.1007\/s41066-015-0013-y"},{"key":"e_1_3_2_22_2","doi-asserted-by":"publisher","DOI":"10.1007\/s41066-016-0035-0"},{"key":"e_1_3_2_23_2","doi-asserted-by":"publisher","DOI":"10.1111\/1467-9965.00100"},{"key":"e_1_3_2_24_2","doi-asserted-by":"publisher","DOI":"10.1007\/s41066-015-0008-8"},{"key":"e_1_3_2_25_2","doi-asserted-by":"publisher","DOI":"10.1016\/j.insmatheco.2008.03.004"},{"key":"e_1_3_2_26_2","doi-asserted-by":"publisher","DOI":"10.1016\/j.insmatheco.2009.02.006"},{"key":"e_1_3_2_27_2","doi-asserted-by":"publisher","DOI":"10.1016\/j.insmatheco.2004.06.002"},{"key":"e_1_3_2_28_2","doi-asserted-by":"publisher","DOI":"10.1016\/S0167-6687(02)00128-2"},{"key":"e_1_3_2_29_2","doi-asserted-by":"publisher","DOI":"10.1016\/j.insmatheco.2013.09.002"},{"key":"e_1_3_2_30_2","volume-title":"Portfolio analysis-from probabilistic to credibilistic and uncertain approaches","author":"Huang X.","year":"2010","unstructured":"HuangX., Portfolio analysis-from probabilistic to credibilistic and uncertain approaches, Springer-Verlag, Berlin, 2010."},{"key":"e_1_3_2_31_2","doi-asserted-by":"publisher","DOI":"10.1007\/s10700-010-9094-x"},{"key":"e_1_3_2_32_2","doi-asserted-by":"publisher","DOI":"10.1016\/j.ins.2012.06.017"},{"key":"e_1_3_2_33_2","doi-asserted-by":"publisher","DOI":"10.3233\/JIFS-169211"},{"key":"e_1_3_2_34_2","unstructured":"H\u00f8jgaardB. and VignaE. Mean-variance portfolio selection and efficient frontier for defined contribution pension schemes Working Paper Aalborg University 2007."},{"key":"e_1_3_2_35_2","doi-asserted-by":"publisher","DOI":"10.1007\/s41066-015-0007-9"},{"key":"e_1_3_2_36_2","doi-asserted-by":"publisher","DOI":"10.1007\/978-3-540-73165-8_5"},{"key":"e_1_3_2_37_2","doi-asserted-by":"publisher","DOI":"10.1007\/978-3-642-13959-8"},{"key":"e_1_3_2_38_2","doi-asserted-by":"publisher","DOI":"10.1007\/s41066-016-0034-1"},{"key":"e_1_3_2_39_2","doi-asserted-by":"publisher","DOI":"10.1007\/s41066-016-0021-6"},{"key":"e_1_3_2_40_2","doi-asserted-by":"publisher","DOI":"10.1016\/j.cam.2011.03.008"},{"key":"e_1_3_2_41_2","doi-asserted-by":"publisher","DOI":"10.1007\/s41066-015-0003-0"},{"key":"e_1_3_2_42_2","doi-asserted-by":"publisher","DOI":"10.1007\/s41066-015-0005-y"},{"issue":"1","key":"e_1_3_2_43_2","first-page":"77","article-title":"Portfolio selection","volume":"7","author":"Markowitz H.","year":"1952","unstructured":"MarkowitzH., Portfolio selection, The Journal of Finance 7(1) (1952), 77\u201391.","journal-title":"The Journal of Finance"},{"issue":"2","key":"e_1_3_2_44_2","first-page":"67","article-title":"Mean-variance portfolio selection with inflation hedging strategy: A case of a defined contributory pension scheme","volume":"2","author":"Nkeki C.I.","year":"2012","unstructured":"NkekiC.I., Mean-variance portfolio selection with inflation hedging strategy: A case of a defined contributory pension scheme, Theory and Applications of Mathematics & Computer Science 2(2) (2012), 67\u201382.","journal-title":"Theory and Applications of Mathematics & Computer Science"},{"key":"e_1_3_2_45_2","doi-asserted-by":"publisher","DOI":"10.1007\/s41066-015-0012-z"},{"key":"e_1_3_2_46_2","doi-asserted-by":"publisher","DOI":"10.1007\/s41066-016-0030-5"},{"key":"e_1_3_2_47_2","doi-asserted-by":"publisher","DOI":"10.1007\/s41066-015-0002-1"},{"key":"e_1_3_2_48_2","doi-asserted-by":"publisher","DOI":"10.1007\/s41066-016-0020-7"},{"key":"e_1_3_2_49_2","doi-asserted-by":"publisher","DOI":"10.1016\/j.eswa.2011.11.117"},{"key":"e_1_3_2_50_2","first-page":"3328","volume-title":"Parallel cat swarm optimization","volume":"6","author":"Tsai P.W.","year":"2008","unstructured":"TsaiP.W., PanJ.S., ChenS.M., LiaoB.Y. and HaoS.P., Parallel cat swarm optimization, International Conference on Machine Learning and Cybernetics, Kunming, China, 6, 2008, pp. 3328\u20133333."},{"key":"e_1_3_2_51_2","doi-asserted-by":"publisher","DOI":"10.1016\/S0167-6687(00)00077-9"},{"key":"e_1_3_2_52_2","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2012.708778"},{"key":"e_1_3_2_53_2","doi-asserted-by":"publisher","DOI":"10.1007\/s41066-016-0032-3"},{"key":"e_1_3_2_54_2","doi-asserted-by":"publisher","DOI":"10.1016\/j.amc.2007.04.036"},{"key":"e_1_3_2_55_2","doi-asserted-by":"publisher","DOI":"10.1016\/j.insmatheco.2013.10.002"},{"key":"e_1_3_2_56_2","doi-asserted-by":"publisher","DOI":"10.1016\/j.insmatheco.2013.10.016"},{"key":"e_1_3_2_57_2","doi-asserted-by":"publisher","DOI":"10.1007\/s41066-015-0011-0"},{"key":"e_1_3_2_58_2","doi-asserted-by":"publisher","DOI":"10.1016\/j.camwa.2011.10.035"},{"key":"e_1_3_2_59_2","doi-asserted-by":"publisher","DOI":"10.1007\/s002450010003"},{"key":"e_1_3_2_60_2","doi-asserted-by":"publisher","DOI":"10.1080\/01969722.2010.511552"}],"container-title":["Journal of Intelligent &amp; Fuzzy Systems"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/journals.sagepub.com\/doi\/pdf\/10.3233\/JIFS-171440","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/journals.sagepub.com\/doi\/full-xml\/10.3233\/JIFS-171440","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/journals.sagepub.com\/doi\/pdf\/10.3233\/JIFS-171440","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2026,4,29]],"date-time":"2026-04-29T09:38:46Z","timestamp":1777455526000},"score":1,"resource":{"primary":{"URL":"https:\/\/journals.sagepub.com\/doi\/10.3233\/JIFS-171440"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2018,4,19]]},"references-count":59,"journal-issue":{"issue":"4","published-print":{"date-parts":[[2018,4,19]]}},"alternative-id":["10.3233\/JIFS-171440"],"URL":"https:\/\/doi.org\/10.3233\/jifs-171440","relation":{},"ISSN":["1064-1246","1875-8967"],"issn-type":[{"value":"1064-1246","type":"print"},{"value":"1875-8967","type":"electronic"}],"subject":[],"published":{"date-parts":[[2018,4,19]]}}}