仿射利率模型下确定缴费型养老金的最优投资

张初兵, 荣喜民

系统工程理论与实践 ›› 2012 ›› Issue (5) : 1048-1056.

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系统工程理论与实践 ›› 2012 ›› Issue (5) : 1048-1056. DOI: 10.12011/1000-6788(2012)5-1048
论文

仿射利率模型下确定缴费型养老金的最优投资

    张初兵1,2,3, 荣喜民1
作者信息 +

Optimal investment for DC pension under the affineinterest rate model

    ZHANG Chu-bing1,2,3, RONG Xi-min1
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文章历史 +

摘要

论文研究了仿射利率模型(包括CIR模型和Vasicek模型) 下的确定缴费型养老金的最优投资问题. 在模型中, 养老基金被允许投资于一种无风险资产、一种零息债券和一种风险资产. 通过运用HJB方程、Legendre转换和对偶理论, 分别找到对CRRA和CARA效用函数的显性解.

Abstract

The paper studied the optimal investment strategies of DC pension under the affine interest rate model (including the CIR model and the Vasicek model). In our model, the pension fund was allowed to invest in a risk-free asset, a zero-coupon bond and a single risky asset. By applying the Hamilton-Jacobi-Bellman equation, Legendre transform and dual theory, found the explicit solutions for the CRRA and CARA utility functions, respectively.

关键词

确定缴费型养老金 / 随机控制 / 随机利率 / HJB方程 / 最优投资

Key words

defined contribution pension / stochastic control / stochastic interest rate / HJB equation / optimal investment

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张初兵 , 荣喜民. 仿射利率模型下确定缴费型养老金的最优投资. 系统工程理论与实践, 2012(5): 1048-1056 https://doi.org/10.12011/1000-6788(2012)5-1048
ZHANG Chu-bing , RONG Xi-min. Optimal investment for DC pension under the affineinterest rate model. Systems Engineering - Theory & Practice, 2012(5): 1048-1056 https://doi.org/10.12011/1000-6788(2012)5-1048
中图分类号： O211.6   

参考文献

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基金

天津市自然科学基金(09JCYBLJC01800)

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