DEV模型和SAHARA效用下DC型养老金的最优投资策略  

Optimal strategies for a defined contribution pension plan with SAHARA utility under DEV model

作　　者：马敬堂[1] 陈登胜 鹿正阳 Jingtang Ma;Dengsheng Chen;Zhengyang Lu

机构地区：[1]西南财经大学经济数学学院,成都611130

出　　处：《中国科学：数学》2022年第2期223-244,共22页Scientia Sinica：Mathematica

基　　金：国家自然科学基金(批准号:11671323);中央高校基本科研业务费(批准号:JBK1805001);新世纪优秀人才支持项目(批准号:NCET-12-0922)资助项目。

摘　　要：本文研究不完全金融市场中缴费确定型养老金的最优投资问题,并假设金融市场由一种无风险资产和一种价格过程服从动态方差弹性模型的风险资产组成.在对称渐近双曲绝对风险厌恶效用下,养老金参与者旨在最大化其终端时刻财富的期望效用.本文推导Hamilton-Jacobi-Bellman方程,给出验证结果和值函数的上界和下界,然后应用对偶控制Monte Carlo算法计算最优策略.数值算例验证了该方法的准确性.This paper investigates the optimal investment problems for a defined contribution pension plan in an incomplete financial market that consists of a risk-free asset and a risky asset whose price process obeys the dynamic elasticity of variance model and a correlated inflation risk model.The pension plan participant aims to maximize the expected utility of the terminal wealth under the symmetric asymptotic hyperbolic absolute risk aversion utility.This paper derives the Hamilton-Jacobi-Bellman equations and the verification results,develops lower and upper bounds for the value function,and computes optimal strategies by applying the dual control Monte Carlo algorithm.Numerical examples are presented to verify the accuracy of the approach.

关 键 词：缴费确定型养老金 不完全金融市场 动态方差弹性模型 对称渐近双曲绝对风险厌恶效用 对偶控制Monte Carlo算法 最优策略 

分 类 号：F842.67[经济管理—保险] F832.51F224