| 目标偏好与企业年金最优投资决策分析 |
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| 引用本文： | 郭磊,陈方正.目标偏好与企业年金最优投资决策分析[J].同济大学学报(自然科学版),2007,35(9):1279-1283. |
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| 作者姓名： | 郭磊 陈方正 |
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| 作者单位： | 同济大学,经济与管理学院,上海,200092 |
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| 摘 要： | 以目标偏好来刻画个体的偏好结构,构建了两相关资产条件下企业年金最优投资决策的随机动态规划模型.对模型的结果进行了模拟,并对相关参数进行了敏感性分析,结果显示目标偏好的个体,其最优高风险资产投资比重随时间推移而降低;目标偏好程度越高,则企业年金最优投资策略越保守;目标收益设定越高,投资策略越积极.
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| 关 键 词： | 最优投资决策 目标偏好 企业年金 |
| 文章编号： | 0253-374X（2007）09-1279-05 |
| 修稿时间： | 2005-06-10 |
Target Preference and Optimal Investment Decision or Occupational Pension Schemes |
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| GUO Lei,CHEN Fangzheng.Target Preference and Optimal Investment Decision or Occupational Pension Schemes[J].Journal of Tongji University(Natural Science),2007,35(9):1279-1283. |
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| Authors: | GUO Lei CHEN Fangzheng |
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| Institution: | School of Economics and Managenaent, Tongji University, Shanghai 200092, China |
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| Abstract: | A stochastic dynamic programming model of the optimal investment decision for occupational pension schemes in a two-correlated-asset world is set up.Target preference,an individual preference to a certain-level upside deviation,is considered.The simulation results and the sensitivity analysis show that the optimal quota of portfolio to be invested into the high-risk asset decreases over time;the less the target preference or the higher the target is,the more aggressive the optimal investment strategy is. |
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| Keywords: | optimal investment decision target preference occupational pension |
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