| 均值-方差模型下DC型养老金的随机最优控制 |
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| 引用本文： | 张初兵,荣喜民. 均值-方差模型下DC型养老金的随机最优控制[J]. 系统工程理论与实践, 2012, 32(6): 1314-1323. DOI: 10.12011/1000-6788(2012)6-1314 |
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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： | 从DB型养老金转向DC型养老金已被越来越多的国家所考虑. 以均值-方差为目标研究 风险资产符合CEV模型的DC型养老金最优投资问题. 利用随机控制建立了养老金最优投资的HJB方程, 通过Legendre变换和对偶理论求得养老金的最优投资策略, 最后推导出均值-方差下 DC型养老金最优投资的有效前沿.
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| 关 键 词： | DC型养老金 均值-方差 常方差弹性模型 随机控制 最优投资 |
| 收稿时间： | 2010-12-16 |
Stochastic optimal control for DC pension under the mean-variance model |
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| ZHANG Chu-bing , RONG Xi-min. Stochastic optimal control for DC pension under the mean-variance model[J]. Systems Engineering —Theory & Practice, 2012, 32(6): 1314-1323. DOI: 10.12011/1000-6788(2012)6-1314 |
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| Authors: | ZHANG Chu-bing RONG Xi-min |
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| Affiliation: | 1. College of Science, Tianjin University, Tianjin 300072, China;2. College of Management, Tianjin University, Tianjin 300072, China;3. School of Business, Tianjin University of Finance and Economics, Tianjin 300222, China |
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| Abstract: | More and more countries begin to consider changing from the DB type to DC type for pension. This paper researches the optimal investment problem for DC pension with the target of mean-variance and the risky asset derived by the CEV model.By the stochastic control theory,the paper establishes the HJB equation about the optimal investment of DC pension,obtains the optimal investment strategies through the Legendre transform and duality theory,and finally deduces the effective frontier of the optimal investment of DC pension under the mean-variance model. |
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| Keywords: | defined-contribution pension mean-variance constant elasticity of variance model stochastic control optimal investment |
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