| 退休后企业年金最优投资决策 |
| |
| 引用本文： | 郭磊,陈方正.退休后企业年金最优投资决策[J].系统工程,2006,24(2):78-82. |
| |
| 作者姓名： | 郭磊 陈方正 |
| |
| 作者单位： | 同济大学,经济与管理学院,上海,200092 |
| |
| 基金项目： | 联合国开发计划署资助项目 |
| |
| 摘 要： | 引入目标偏好——接受在一定限度内的上侧偏差，而厌恶其他的上侧偏差和下侧偏差——刻画偏好结构，建立了员工退休后选择延迟年金化的企业年金基金最优投资决策的随机动态规划模型。通过大量的Monte Carlo模拟测算投资风险，比较了立即年金化和延迟年金化，发现；退休后选择延迟年金化的最优投资战略随时间推移而趋于保守．随着目标偏好系数的增加而变得更加积极；延迟购买适合风险厌恶水平较低的人，但市场欠佳会显著提高经济状况恶化的概率。
|
| 关 键 词： | 目标偏好 企业年金 退休后最优投资决策 风险测度 |
| 文章编号： | 1001-4098（2006）02-0078-05 |
| 收稿时间： | 2005-09-10 |
| 修稿时间： | 2005-09-102005-11-20 |
Post-retirement Optimal Investment Decision for Occupational Pension |
| |
| GUO Lei,CHEN Fang-zheng.Post-retirement Optimal Investment Decision for Occupational Pension[J].Systems Engineering,2006,24(2):78-82. |
| |
| Authors: | GUO Lei CHEN Fang-zheng |
| |
| Abstract: | A post-retirement individual affiliated to enterprise pension plan confronts choice of instant or deferred annuitization. A stochastic optimal programming problem which shows that an individual prefers to a-certain-level upside deviation but averse from other deviation is defined. And the simulation results show that the optimal quota of portfolio to be invested into the high-risk asset decreases over time; the less the target preference, the more aggressive is the optimal investment strategy; and deferred annuitization is suitable for less risk-averse individuals. |
| |
| Keywords: | Target Preference Occupational Pension Post-retirement Optimal Investment Decision Risk Measurement |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
