| 养老基金管理的常方差弹性模型及Legendre 变换2对偶解法 |
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| 引用本文： | 肖建武,秦成林. 养老基金管理的常方差弹性模型及Legendre 变换2对偶解法[J]. 系统工程理论与实践, 2005, 25(9): 49-53. DOI: 10.12011/1000-6788(2005)9-49 |
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| 作者姓名： | 肖建武 秦成林 |
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| 作者单位： | 1. 中南林学院商学院,湖南,长沙,410004
2. 上海大学理学院,上海,200436 |
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| 基金项目： | 交通银行基金托管部资助(514522) |
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| 摘 要： | 文章主要为待遇预定制养老基金的管理建立常方差弹性(CEV)模型,给出了相应的非线性Hamilton-Jacobi-Bellman偏微方程,应用Legendre变换将其转化为线性偏微方程,建立对偶问题.通过对偶问题的求解,从而求得原问题的精确解析解,确定风险资产和无风险资产的投资比例,以及养老金缴费水平,最终实现养老基金管理的最优资产配置和最低缴费水平.
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| 关 键 词： | 常方差弹性(CEV) Hamilton-Jacobi-Bellman方程 Legendre变换 对偶 待遇预定制养老基金 |
| 文章编号： | 1000-6788(2005)09-0049-05 |
| 修稿时间： | 2004-06-30 |
A Constant Elasticity of Variance (CEV) Model and Legendre Transform-Dual Solution for Defined Benefit Pension Funds Management |
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| XIAO Jian-wu,QIN Cheng-lin. A Constant Elasticity of Variance (CEV) Model and Legendre Transform-Dual Solution for Defined Benefit Pension Funds Management[J]. Systems Engineering —Theory & Practice, 2005, 25(9): 49-53. DOI: 10.12011/1000-6788(2005)9-49 |
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| Authors: | XIAO Jian-wu QIN Cheng-lin |
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| Affiliation: | XIAO Jian-wu~1,QIN Cheng-lin~2 |
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| Abstract: | This paper presents a constant elasticity of variance model for defined pension funds management,obtains the non-linear Hamilton-Jacobi-Bellman partial differential equation,and reduces to a linear partial differential equation and the dual problems with the Legendre transform.We give the analytic solutions of the primal optimal problem by studying the dual problem.So we can find an optimal asset allocation-between a risky asset and a riskless asset-and the least contribution policy. |
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| Keywords: | constant elasticity of variance Hamilton-Jacobi-Bellman equation Legendre transform duality defined benefit pension funs |
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