混合随机波动模型下带随机工资的DC型养老金最优投资策略  

Optimal investment strategy for DC pension plan with stochastic salary under hybrid stochastic volatility model

作　　者：邵艳宇 夏登峰[1] 费为银[1] 明健 SHAO Yanyu;XIA Dengfeng;FEI Weiyin;MING Jian(School of Mathematics-Physics and Finance,Anhui Polytechnic University,Wuhu 241000,Anhui,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：《东华大学学报（自然科学版）》2024年第1期145-151,共7页Journal of Donghua University(Natural Science)

基　　金：国家自然科学基金(71873002)。

摘　　要：针对养老金的保值增值问题,分析具有利率风险和波动风险的DC(defined contribution)型养老金最优投资策略。假设金融市场包含一种无风险资产和一种股票,其中股票价格服从混合随机波动(Heston-Hull-White)模型。设定养老金计划成员的工资是随机的。基于终端财富预期效用最大化标准,在CARA效用函数下,通过建立相应的HJB(Hamilton-Jacob-Bellman)方程,求解出最优投资策略,并利用数值算例分析主要模型参数对最优投资策略的影响。结果表明:风险规避系数的增大会导致投资者对股票的投资比例下降,利率风险和波动风险对DC型养老金的最优投资策略有显著影响。所得结果对基金管理者具有一定的指导作用。For the preservation and appreciation of pension funds,the optimal investment strategy for DC pension plan with interest rate risk and volatility risk was studied.Assumed that the financial market consists of a risk-free asset and a stock,where the price process of the stock followed the hybrid stochastic volatility(Heston-Hull-White)model.Setting the salary of pension plan members was stochastic.Based on maximizing the expected utility of terminal wealth,the corresponding HJB(Hamilton-Jacob-Bellman)equation was established,and the optimal investment strategy was obtained under the CARA utility function,and numerical examples were given to characterize the effects of financial parameters on the optimal investment strategy.The result shows that with the increase of the risk aversion coefficient,the investment proportion in the stock decreases,and the interest rate risk and volatility risk have a significant impact on the optimal investment strategy for DC pension plan.The result can provide guidance for fund managers.

关 键 词：DC型养老金 随机工资 混合随机波动 动态规划方法 

分 类 号：F830.9[经济管理—金融学] O211.63[理学—概率论与数理统计] O231.3[理学—数学]