Stein-Stein随机波动率模型下确定缴费型养老金的最优投资

确定缴费型养老金在社会保障体系中扮演着越来越重要的角色.本文研究了确定缴费型养老金的最优投资,投资目标是最大化终端财富的期望效用.假设养老金投资计划的资金可以投资于一个无风险资产和两个风险资产,并且风险资产的价格过程服从Stein-Stein随机波动模型,最终得到该优化问题的最优投资策略的显性解,可为养老金管理者提供一定的投资依据.

Optimal investment for defined contribution plan pesion under the Stein-Stein stochastic volatility model

DC pension plays a crucial role in the social pension system. This paper studies the optimal investment strategies of DC pension in the sense of maximizing the expected utility of terminal wealth. Assume the investor is allowed to invest in a risk-free asset and two risky assets. The price process of risky assets are described by Stein-Stein stochastic volatility model.By solving the corresponding Hamilton-Jacobi-Bellman equation,we obtain the optimal strategy explicitly,the results can provide suggesttions for pension investors.