带最低保障的DC养老金计划的最优投资  

Optimal investment of DC pension plan with minimum guarantee

作　　者：吕文欣 董迎辉 吴桑 LU Wenxin;DONG Yinghui;WU Sang(School of Mathematics and Physics,SUST,Suzhou 215009,China)

机构地区：[1]苏州科技大学数理学院,江苏苏州215009

出　　处：《苏州科技大学学报（自然科学版）》2020年第3期28-33,共6页Journal of Suzhou University of Science and Technology（Natural Science Edition）

基　　金：国家自然科学基金资助项目(11771320);江苏省自然科学基金优秀青年基金资助项目(BK20170064);青蓝工程项目。

摘　　要：由于通货膨胀以及人口的老龄化,使得近年来养老基金的投资管理面临一定的风险。因此,养老金管理者希望在资金积累阶段找到最优的投资组合。假定参加养老金计划的员工在工作期间的年金缴付率是随机的,并将养老保险投资到金融市场,在期望效用最大化原则下,研究具有最低保障收益的确定缴费型养老金计划的最优投资问题。运用凹化技巧、拉格朗日对偶法以及鞅方法求解该优化问题,得到最优财富过程和最优交易策略的解析式。As a result of inflation and the aging of the population,pension investment has been facing certain risks in recent years.The manager of DC pension plan expects to find the optimal portfolio during the accumulation phrase.Suppose that the contribution rate is stochastic and that the wealth is invested in the financial market,we have mainly studied the optimal investment of DC pension with minimum guarantee by maximizing the expected utility of the terminal wealth for the members.Using the concavification,Lagrange duality and martingale methods,we have solved the optimization problem and obtained the analytical formulas for the optimal wealth process and the optimal trading strategy.

关 键 词：最低保障 DC养老金 拉格朗日对偶方法 凹化 

分 类 号：O211.5[理学—概率论与数理统计]