动态投资目标下DC型养老基金的最优投资策略  

The optimal investment strategy for DC pension plan with a dynamic investment target

作　　者：孙景云 李仲飞[3] 李永武[4] 

机构地区：[1]兰州财经大学统计学院,兰州730020 [2]兰州大学数学与统计学院,兰州730000 [3]中山大学管理学院,广州510275 [4]北京工业大学经济与管理学院,北京100124

出　　处：《系统工程理论与实践》2017年第9期2209-2221,共13页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金(71501176);广东省自然科学基金(2014A030312003);中国博士后科学基金(2015M580141)~~

摘　　要：本文考虑了基于动态投资目标下DC型养老基金在退休前累积阶段的最优资产配置问题。假定养老基金参与者根据其退休时的工资水平设置了一个预期的投资目标,并将其养老基金投资于由一个无风险资产和n个风险资产构成的金融市场.本文从赤字和净盈余两个角度出发分析养老基金账户值与参与者预期投资目标之间的的偏差,分别建立了基于平方损失和均值-方差目标准则之下的连续时间最优投资组合问题,然后获得了两个优化问题最优投资策略的解析形式,并分析了在上述两种最优策略之下期望终端财富之间的关系.最后通过数值算例进一步说明了本文结论。Based on the dynamic investment target, this paper considers the optimal investment problem of the defined contribution （DC） pension plan at the phase of accumulation before retirement. We assume that the pension plan member sets an expected investment target via the income level of the member when she retires. And the pension fund is invested into the market consists of one risk-free asset and n risky assets. From the point of view of deficit and surplus, we analyze the deviation between the pension fund account and expected investment target, and formulate the continuous time portfolio problems under the quadratic loss and mean-variance criteria, respectively. The explicit expression of the optimal investment strategies for the above problems are obtained, and the relationship between the expected terminal wealth under the two optimal strategies are also analysed. Finally, some numerical examples are presented to verify our results.

关 键 词：DC型养老基金 平方损失 均值-方差 Hamilton-Jacobi—Bellman方程 

分 类 号：F830.59[经济管理—金融学] F224