通胀风险和最低保障约束下基于二次效用函数的DC型养老金最优投资策略  

Optimal Investment Strategy Based on Quadratic Utility Function in DC Pension Plan with Inflation Risk and Minimum Security

作　　者：唐晓艺 刘伟[1] 吴婉莹 刘国欣[2] TANG Xiaoyi;LIU Wei;WU Wanying;LIU Guoxin(College of Mathematics and System Science,Xinjiang University,Urumqi 830046,China;School of Science,Hebei University of Technology,Tianjin 300401,China)

机构地区：[1]新疆大学数学与系统科学学院,新疆乌鲁木齐830046 [2]河北工业大学理学院,天津300401

出　　处：《应用数学》2021年第4期984-991,共8页Mathematica Applicata

基　　金：国家自然科学基金(11961064);国家自然科学基金(12071107)。

摘　　要：本文以期望效用最大化为优化目标,研究在通货膨胀风险和最低保障约束影响下的DC型养老金最优投资组合问题.模型考虑将养老金投资于无风险资产,风险资产(股票和指数债券),缴费为随机过程.在二次效用下,运用鞅方法得出最优投资策略和期望效用值的显示表达式.最后,通过数值分析讨论通胀风险,风险厌恶系数等参数对最优投资策略的影响.Taking the expected utility maximization as the optimization goal, this paper studies the optimal portfolio of DC pension under the influence of inflation risk and minimum guarantee constraint.The model considers pension investment in risk-free assets, risky assets and index bonds, and the contribution is a random process. Under the quadratic utility, the optimal investment strategy and expected utility values are obtained by martingale method. Finally, the effects of inflation risk, risk aversion coefficient and other parameters on the optimal investment strategy are discussed through numerical analysis.

关 键 词：通胀风险 最低保障 DC型养老金计划 二次效用函数 鞅方法 

分 类 号：O211.6[理学—概率论与数理统计]