考虑不动产投资和随机工资的DC养老金最优投资策略  

Optimal Investment Strategy of DC Pension with Real Estate Investment and Stochastic Salary

作　　者：李冠军 夏登峰[1] 李九敏 卢康威 LI Guanjun;XIA Dengfeng;LI Jiumin;LU Kangwei(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,芜湖241000

出　　处：《湖南工程学院学报(自然科学版)》2024年第3期50-56,共7页Journal of Hunan Institute of Engineering(Natural Science Edition)

基　　金：安徽省高校自然科学研究重点项目(KJ2021A0514)

摘　　要：研究考虑不动产投资机会和随机工资的DC养老金最优投资策略问题.将养老金投资于不动产、无风险资产和风险证券,不动产价格过程由跳跃—扩散过程刻画,养老基金管理者的目标是最大化终端财富的期望效用.利用随机控制理论推导出值函数相应的HJB(Hamilton-Jacobi-Bellman)方程,在CRRA(constant relative risk aversion)效用函数下,得到了相应的最优投资策略.最后,通过数值算例分析相关参数对最优投资策略的影响.结果表明:当风险资产平均回报率和租金房价比增加时,基金管理者会增加风险资产和不动产的投资比例.而风险资产波动率增加时,基金管理者会减少风险资产的投资比例.In this paper,we investigate an optimal investment strategy for DC pension with real estate investment and stochastic salary.The pension is invested in a financial market composed of real estate,risk-free asset and a stock,and the real estate follows a jump-diffusion process.The manager’s target is to make the expected utility of the terminal wealth the highest point.According to the stochastic control theory,we obtain the HJB(Hamilton-Jacobi-Bellman)equation corresponding to the value function.Under the CRRA(constant relative risk aversion)utility function,the corresponding optimal investment strategy is obtained.Finally,we use numerical simulation to analyze the impact of main parameters on the optimal investment strategy.The results show that when the average rate of return of risk assets and the rent-to-house ratio increase,fund managers will increase the proportion of investment in risk assets.When the volatility of risk assets rises,fund managers will reduce the proportion of investment in risk assets.

关 键 词：DC养老金 不动产投资 随机工资 HJB方程 CRRA效用 

分 类 号：F830.59[经济管理—金融学]