Optimal Investment of Defined Contribution Pension Based on Self-Protection and Minimum Security  被引量:1

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作  者:WANG Lan WANG Chuanyu XUE Juan 

机构地区:[1]School of Mathematics and Finance,Anhui Polytechnic University,Wuhu 241000,Anhui,China

出  处:《Wuhan University Journal of Natural Sciences》2023年第2期129-140,共12页武汉大学学报(自然科学英文版)

基  金:Supported by the National Social Science Foundation of China(20BTJ048);Anhui University Humanities and Social Science Research Major Project(SK2021ZD0043)。

摘  要:This paper mainly studies the optimal investment problem of defined contribution(DC)pension under the self-protection and minimum security.First,we apply Ito?theorem to obtain the differential equation of the real stock price after discounting inflation.Then,under the constraint of external guarantee of DC pension terminal wealth,self-protection is introduced to study the maximization of the expected utility of terminal wealth at retirement time and any time before retirement.The explicit solution of the optimal investment strategy of DC pension at retirement time and any time before retirement should be derived by martingale method.Finally,the influence of selfprotection on the optimal investment strategy of DC pension is numerically analyzed.

关 键 词:defined contribution pension minimum guarantee SELF-PROTECTION martingale method optimal investment 

分 类 号:O211.63[理学—概率论与数理统计]

 

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