HARA效用下考虑DC养老金带有死亡和伤残返还条款的最优投资问题  

Optimal Investment Problem for DC Pension Plan with the Death and Disability Return Clause under HARA Utility

作　　者：杨铭 夏登峰[1] 徐文静[1] 韩雪伟 YANG Ming;XIA Deng-feng;XU Wen-jing;HAN Xue-wei(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：《安徽师范大学学报（自然科学版）》2024年第2期112-117,共6页Journal of Anhui Normal University(Natural Science)

基　　金：安徽省高校自然科学研究项目重点项目(KJ2021A0514).

摘　　要：考虑了一个带有死亡和伤残返还的DC型养老金计划的最优投资问题。以终端财富期望效用最大化为目标,利用动态规划原理建立相应的Hamilton-Jacobi-Bellman(HJB)方程,在双曲绝对风险厌恶(HARA)效用函数下得到最优解,通过数值模拟分析重要参数对最优投资策略的影响。This paper considers the optimal investment problem of a DC pension plan with death and disability re-turns.Taking the utility maximization problem of terminal wealth expectation as the goal,the corresponding Ham-ilton Jacobi Bellman(HJB)equation is established by using the principle of dynamic programming.The optimal solution is obtained under the Hyperbolic Absolute Risk Aversion(HARA)utility function,and the impact of im-portant parameters on the optimal investment strategy is analyzed through numerical simulation.

关 键 词：DC型养老金模型 死亡返还 伤残返还 HARA效用 HJB方程 

分 类 号：F830.59[经济管理—金融学]