Optimal investment strategies for DC occupational pension fund based stochastic contribution flow model:under the constraint of a minimum guarantee
摘要:
在连续时间金融市场中建立了具有最低保障约束的缴费确定型(DC)企业年金资产配置模型,选择Vasicek模型刻画利率,建立新的随机缴费流模型,选择CARA效用函数,在满足企业年金终期财富超过最低保障的约束条件下得到了使终期财富期望效用最大的配置策略,最后对基金的最优策略进行数值模拟分析,分析结果表明最优策略具有生命周期投资风格的特征.
In this paper,the asset allocation model for DC occupational pension fund with the minimum guarantee constraint in the continuous time financial market is established.The paper selects Vasicek model to describe interest rates and constructs a new stochastic contribution flow model.We choose CRRA as the utility function and obtains the optimal strategies that maximize the expected utility of the terminal wealth under the constraint of a minimum guarantee.Finally,the analysis of numerical simulation for the optimal strategies have been given,and the results show that the optimal strategies have the same feature as life cycle investment style.
作者:
翟永会 王易玮 高清慧
Zhai Yonghui;Wang Yiwei;Gao Qinghui(Business School,Henan Normal University,Xinxiang 453007,China;College of Mathematics and Information Science,Henan Normal University,Xinxiang 453007,China)
机构地区:
betway官方app 商学院 betway官方app 数学与信息科学学院
出处:
《betway官方app 学报:自然科学版》 CAS 北大核心 2020年第2期6-13,共8页
基金:
国家社科基金(18BJY247) 教育部人文社会科学研究规划基金(16YJA790063) 河南省高等学校重点科研项目(15A110031).
关键词:
企业年金 最低保障 随机控制 鞅方法
occupational pension fund minimum guarantee stochastic optimal control martingale method
分类号:
F830 [经济管理—金融学]