Heston随机方差模型下确定缴费型养老金的最优投资  

Optimal Investment for Defined Contribution Pension Plans under Heston Model

作　　者：林祥[1] 杨益非[1] 

机构地区：[1]中南大学数学学院概率统计研究所,湖南长沙410075

出　　处：《应用数学》2010年第2期413-418,共6页Mathematica Applicata

基　　金：国家自然科学基金资助项目(10771216)

摘　　要：本文对确定缴费计划养老金的最终财富期望指数效用最大的最优投资组合进行研究.假设养老金计划的基金可以投资于无风险资产和风险资产,并且风险资产的方差服从Heston模型,得到最优投资和最大期望指数效用的明确表达式.此外,通过数值计算还得到最优投资与各个参数之间的关系.In this paper we study the portfolio optimization problem for an investor who seeks to maximize the expected exponential utility of the terminal wealth in a defined contribution pension plan.We assume that the pension fund can be invested in a risk-free asset and a risky asset,and the volatility of the risky asset is described by a Heston model.We obtain the closed-form expression of the optimal investment and the maximal expected exponential utility of the terminal wealth.Moreover,the relationships between the optimal investment and various parameters are given by numerical calculation.

关 键 词：确定缴费计划 Heston随机方差模型 最优投资 HAMILTON-JACOBI-BELLMAN方程 

分 类 号：O211.67[理学—概率论与数理统计]