带有通胀风险和随机收入的确定缴费养老计划  

Multi-period mean-variance defined contribution pension manaeement with inflation and stochastic income

作　　者：伍慧玲[1] 董洪斌[1] 

机构地区：[1]中央财经大学中国精算研究院,北京100081

出　　处：《系统工程理论与实践》2016年第3期545-558,共14页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金(11301562);北京市社会科学基金(15JGB049;15JGA023);中央财经大学科研创新团队支持计划项目~~

摘　　要：在离散时间框架下研究了一个多期均值-方差确定缴费养老基金管理问题.综合考虑了金融资产价格、通货膨胀和随机收入这三种决策风险,且假设养老计划参与者的随机收入会受到通货膨胀的影响.分析了最优策略的存在性,运用拉格朗日对偶原理和动态规划方法,得到了最优投资策略和有效前沿的显式解.最后运用数值分析方法,分析了通货膨胀和随机收入对投资策略、终端真实财富均值和有效前沿的影响.我们的研究表明,通货膨胀和随机收入会对相关结果产生本质的影响.This paper studies a multi-period mean-variance defined contribution pension plan. Three deci- sion risks including price risk of the financial asset, inflation risk and salary risk are considered. Moreover, the stochastic income of the scheme member of the pension plan is assumed to depend on the inflation. The existence of the optimal strategies is analyzed, and the closed-form expressions for the optimal strategy and the efficient frontier are obtained by using Lagrange dual principle and dynamic programming. Finally, a numerical simulation is presented to illustrate the effects of the inflation and the stochastic income on the optimal strategy, the expected terminal wealth and the efficient frontier. Our studies indicate that the inflation and the stochastic income have essential effects on the related results.

关 键 词：多期均值-方差投资模型 确定缴费养老计划 通货膨胀 随机收入 动态规划 

分 类 号：F830.59[经济管理—金融学] F840.4