VaR约束下带最低保障的DC型养老金的最优投资  

Optimal investment of DC pension plan under VaR constraint with minimum guarantee

作　　者：蔡晶晶 董迎辉 吕文欣 吴桑 CAI Jingjing;DONG Yinghui;Lü Wenxin;WU Sang(Business School,Suzhou University of Science and Technology,Suzhou 215009,China;School of Mathematics,Suzhou University of Science and Technology,Suzhou 215009,China)

机构地区：[1]苏州科技大学商学院,苏州215009 [2]苏州科技大学数学科学学院,苏州215009

出　　处：《系统工程理论与实践》2021年第5期1252-1262,共11页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金(12071335);江苏省自然基金优秀青年基金(BK20170064);江苏省青蓝工程学术带头人资助项目;教育部人文社科项目(20YJAZH025)。

摘　　要：研究在最低保障和风险价值(value-at-risk,VaR)约束下确定缴费型(defined contribution,DC)养老金的最优投资策略问题.假设DC养老金采用了政府共享利润的计划,基金经理人以使得参与养老金计划员工的期望效用最大化为原则选择最优投资策略.利用凹化技巧以及鞅方法得到了最优财富过程和最优投资策略的显示解,并数值分析了VaR约束和利润共享计划对最优终值财富的影响.结果表明,VaR约束对经济不景气时的风险管理有严格的改进效用.同时利润共享计划也会对养老金经理起到一定的激励作用,从而增加良好的经济状态下的最优终值财富.This paper studies the optimal investment strategy of DC pension with VaR constraint and minimum guarantee.We assume that the terminal wealth is shared between the government and DC members.The manager aims to maximize the expected utility of the terminal payoff to DC members.We adopt a concavification technique and a Lagrange dual method to solve the problem and derive the representations of the optimal wealth process and trading strategies.We also carry out some numerical analysis to show the impacts of VaR constraint and the profit-sharing program on the optimal terminal wealth.Numerical results show that VaR constraint can provide an effective improvement in bad economic states.Furthermore,the profit-sharing program can increase the optimal terminal wealth in good economic states.

关 键 词：DC养老金 最低保障 拉格朗日对偶方法 凹化 风险价值 

分 类 号：F830.59[经济管理—金融学] F224