随机环境下有最低收益保障的DC型养老金问题  

DC pension fund with minimum guarantee in stochastic environments

作　　者：郑小珊[1] 樊顺厚[1] 

机构地区：[1]天津工业大学理学院,天津300387

出　　处：《哈尔滨商业大学学报（自然科学版）》2017年第2期235-241,共7页Journal of Harbin University of Commerce：Natural Sciences Edition

摘　　要：对随机利率和随机波动率模型下带有最低收益保障的DC型养老金投资问题进行了研究,其中假设利率服从仿射利率模型,股票价格服从Heston随机波动率模型.养老金被允许投资于三种资产:一种无风险资产,一种可转换债券,一种风险资产.运用动态规划原理得到了指数效用函数下最优投资策略的显性解.给出数值算例分析了市场参数对最优投资策略的影响.The DC pension fund with minimum guarantee in a stochastic affine interest rate and stochastic volatility framework were studied. In this model, interest rate was supposed be driven by affine interest rate model, while stock price was governed by Heston＇s stochastic volatility model. The pension fund was allowed to be invested in a risk-free asset, a convertible bond and a risky asset. Using dynamic programming theory, obtained the closed-form solutions to the optimal investment strategies for exponential utility. A numerical example was provided to illustrate the effect of market parameters on the optimal policies.

关 键 词：DC型养老金 仿射利率模型 Heston模型 最优投资策略 指数效用 

分 类 号：F224[经济管理—国民经济]