随机环境下具有最低担保约束的DC养老金鲁棒投资策略  

Robust Investment Strategy of DC Pension with Minimum Guarantee Constraints in Stochastic Environment

作　　者：崔璐 荣喜民 CUI Lu;RONG Ximin(School of Mathematics, Tianjin University, Tianjin 300350,China)

机构地区：[1]天津大学数学学院,天津300350

出　　处：《经济数学》2020年第4期27-37,共11页Journal of Quantitative Economics

基　　金：国家自然科学基金资助项目(11871052,11771329)。

摘　　要：针对近年来养老金管理遇到的问题,基于模型不确定性,考虑随机环境和退休保障限制的DC型养老金最优投资策略具有重要意义.以养老金的最终价值相对于退休后年金担保的不变相对风险厌恶期望效用最大化为目标,利用随机动态规划的方法,求出鲁棒最优投资策略及相应的价值函数.最后,通过数值分析,得到各参数对最优投资策略的影响.In view of the problems encountered in pension management in recent years,based on the uncertainty of the model,the optimal investment strategy of DC pensions that takes into account the random environment and the constraints of retirement protection is of great significance.With the goal of maximizing the ultimate value of pensions relative to the expected utility of the invariable relative risk aversion of the post-retirement annuity guarantee,using the method of stochastic dynamic programming,the robust optimal investment strategy and the corresponding value function are obtained.Finally,through numerical analysis,the influence of each parameter on the optimal investment strategy is obtained.

关 键 词：随机利率 随机波动 模糊厌恶 随机控制 DC养老金 最低约束 

分 类 号：F840.67[经济管理—保险]