| 仿射利率模型下确定缴费型养老金的最优投资 |
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| 引用本文： | 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[J].系统工程理论与实践,2012,32(5):1048-1056. |
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| 作者姓名： | 张初兵 荣喜民 |
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| 作者单位： | 1. 天津大学 理学院, 天津 300072;
2. 天津大学 管理与经济学部, 天津 300072;
3. 天津财经大学 商学院, 天津 300222 |
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| 基金项目： | 天津市自然科学基金(09JCYBLJC01800) |
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| 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.
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| 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 |
| 收稿时间： | 2010-08-10 |
Optimal investment for DC pension under the affine interest rate model |
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| ZHANG Chu-bing
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RONG Xi-min.Optimal investment for DC pension under the affine interest rate model[J].Systems Engineering —Theory & Practice,2012,32(5):1048-1056. |
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| Authors: | ZHANG Chu-bing RONG Xi-min |
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| Affiliation: | 1. College of Science, College of Management, Tianjin University, Tianjin 300072, China;
2. College of Management, Tianjin University, Tianjin 300072, China;
3. College of Science, Tianjin University, Tianjin 300072, China |
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| 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 HamiltonJacobi -Bellman equation,Legendre transform and dual theory,found the explicit solutions for the CRRA and CARA utility functions,respectively. |
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| Keywords: | defined contribution pension stochastic control stochastic interest rate HJB equation optimal investment |
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