通胀和奈特不确定下的养老金最优投资研究  

Study on Optimal Portfolio for Defined Contribution Pension with Inflation and Knightian Uncertainty

作　　者：梁勇[1] 费为银[1] 姚远浩 芮亚运 

机构地区：[1]安徽工程大学数理学院,安徽芜湖241000

出　　处：《工程数学学报》2015年第3期337-347,共11页Chinese Journal of Engineering Mathematics

基　　金：国家自然科学基金(71171003)~~

摘　　要：本文研究了奈特不确定下带有通胀的固定供款型养老基金的最优投资问题.首先,利用伊藤公式推导考虑通胀的消费篮子价格动力学方程.其次,在奈特不确定下,建立代理人的财富动态方程,同时根据代理人对不同的公司存在不同的含糊程度,利用随机控制理论刻画代理人的期望效用,得到HJB方程,通过求解HJB方程给出代理人最优投资的显式解.最后,对结果进行数值分析,定量分析了含糊和通胀因素对代理人最优投资策略的影响.In this paper, we study an optimal investment strategy for defined contribution pension plan with inflation under Knightian uncertainty. Firstly, we obtain the dynamics of consumer-basket-price with inflation by using It5 formula. Secondly, we establish the wealth dynamic equation for an agent, and characterize the agent＇s expected utility function by the stochastic control theory, where the agent has different levels of ambiguity aversion to different companies. Thirdly, we get the HJB equation, from which we obtain the explicit form solutions of the optimal investment strategy. Finally, we analyze the impacts of the ambiguity and the inflation on the optimal investment strategy of an agent through a numerical simulation.

关 键 词：含糊厌恶 通胀 固定供款 随机控制 最优投资策略 

分 类 号：F224.9[经济管理—国民经济]