卖空限制和分红约束下DC养老金计划的最优投资  

Optimal Investment in DC Pension Plans Under Short Selling Restrictions and Dividend Constraints

作　　者：余鑫 王传玉[1] 何学强 YU Xin;WANG Chuanyu;HE Xueqiang(School of Mathematics,Physics and Finance,Anhui Polytechnic University,Wuhu 241000,China)

机构地区：[1]安徽工程大学数理与金融学院,安徽芜湖241000

出　　处：《安徽工程大学学报》2021年第4期88-94,共7页Journal of Anhui Polytechnic University

基　　金：国家自然科学基金资助项目(6150301);安徽省高校自然科学重点研究基金资助项目(KJ2018A0120);安徽工程大学校级科研重点基金资助项目(XJKY08201901)。

摘　　要：针对卖空限制以及分红约束对DC养老金计划所产生的影响,提出了基于卖空限制以及分红约束下DC养老金计划的最优投资问题,其中卖空限制和分红约束是相互独立的因素。假设在一个完备金融市场的资产组合框架中,即无风险资产和进行分红后的风险资产所构成的资产组合,管理者的目标是使S型效用函数下的终端财富最大化并导出最优策略。根据对偶控制过程得出最优财富过程的表达式,最后通过数值分析描述了在卖空限制和分红约束下,不同的参数θ对最优终端财富以及不同的分红参数δ对最优策略的影响。结果表明,卖空限制和分红约束有效地改善了投资策略,增加了投资者的收益,但也在一定程度上增加了投资者所承担的风险。Aiming at the influence of short selling restriction and dividend constraint on DC pension plan,the optimal investment problem of DC pension plan is proposed based on short selling restriction and dividend constraint,in which the short selling restriction and dividend constraint are independent factors.Given in a complete financial market portfolio framework,namely the risk-free asset and risk assets after a portfolio of share out bonus,the manager's goal was to make the model Sutility function of the terminal wealth maximization and we derive the optimal strategy,according to the dual control process to obtain the optimal expression of the process of wealth.At last,through numerical analysis described under the short-selling restrictions and constraints of share out bonus,different parameter theta of the optimal terminal wealth and different parameters of the delta's influence on the optimal strategy of share out bonus.The results show that the short-selling restriction and dividend restriction effectively improve the investment strategy,increase the returns of investors,but also increase the risks for investors to a certain extent.

关 键 词：DC养老金 卖空限制 分红约束 S型效用 对偶控制 

分 类 号：F832.48[经济管理—金融学]