通胀环境下考虑红利支付和最低保障的确定缴费型养老金最优投资

主要研究了通胀环境下带有红利和最低收益保障的确定缴费(DC)型养老金计划的最优投资问题.首先,应用伊藤公式得到通胀折现后的真实财富过程;然后,在DC型养老金计划终端财富内部保障约束下,即终端财富始终超过最低收益保障,考虑通胀环境下的退休时刻终端财富期望效用最大化问题,应用HJB方程推导得到了退休前任意时刻DC型养老金计划最优投资策略的显式解;最后给出算例,分析了不同参数对最优投资策略的影响,为DC型养老金计划投资者提供更有效的策略.

Optimal Investment of DC Pension Under the Inflation and Minimum Guarantee

This paper mainly studied the optimal investment problem of DC pension plan with dividend and minimum income protection under the inflation environment. First, the Ito formula was used to derive the real wealth process discounted by inflation. And then, the problem of maximizing the expected utility of terminal wealth discounted by inflation at retirement was considered under the constraint of the internal security of the DC pension terminal wealth that is the terminal wealth always exceeds the minimum income guarantee, the HJB equation was used to derive the explicit solution of the optimal investment strategy of DC pension plan at any time before retirement. Finally, the example analysis was given to analyze the influence of different parameters on the optimal investment strategy, which provied more effective strategies for DC pension plan investors.