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.

中文翻译：

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具有动态关注的 DC 养老金计划的资产配置

我们研究了 DC 养老金计划的最优投资和动态注意力分配策略。股票风险的市场价格是可观察因素和不可观察因素的仿射函数。基金经理可以获取新闻信号，以提高股票回报和成本的可预测性。最优策略是显式派生的。通过数值分析发现，如果基金管理人能够以合理的成本获得新闻信息，她倾向于提高股票投资的比例。此外，最低保证约束对动态信息对投资策略的影响具有抑制作用。