基于投资衍生产品的缴费型养老金的最优投资策略
PDF下载 (297)黄 婵,王 伟,温利民.基于投资衍生产品的缴费型养老金的最优投资策略[J].宁波大学学报(理工版),2020,33(1):80-87.DOI:
HUANG Chan,WANG Wei,WEN Limin.Optimal investment strategies for defined contribution pension with a financial derivative[J].Journal of Ningbo University(Natural Science & Engineering Edition),2020,33(1):80-87.DOI:
| Title: | Optimal investment strategies for defined contribution pension with a financial derivative |
| 作者: | 黄 婵, 王 伟, 温利民 |
| Author(s): | HUANG Chan, WANG Wei, WEN Limin |
| 关键词: | 缴费型养老金; 动态规划原理; 最优投资; 衍生产品 |
| Keywords: | defined contribution fund; dynamic programming principle; optimal investment; derivative |
| 分类号: | O211.9 |
| 文献标识码: | A |
| 摘要: | 研究确定缴费(DC)型养老金可投资衍生产品时的最优投资问题. 假设在金融市场中有3种可投资产品, 包含1种无风险资产、1种股票和1种金融衍生产品. 假定养老金管理者以最大化养老金的期末财富效用为目标, 运用动态随机规划原理, 分别得到了指数效用和幂效用2种情况下DC型养老金最优投资策略的显式解, 给出了风险敞口的数值结果, 并分析了模型参数对风险敞口的影响. |
| Abstract: | The optimal investment problem for DC pension with a financial derivative is studied. We assume that there are three assets in a financial market, including a risk-free asset, a stock and a financial derivative. Assuming that the pension manager aims to maximize the expected utility of the terminal wealth, we use the dynamic stochastic programming principle to obtain the closed-form solutions of the optimal strategies of DC pension fund in both the exponential utility and the power utility. The numerical results of risk exposure and the effect of model parameters on risk exposure are analyzed. |
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| 备注/Memo: | 收稿日期: 2018－11－07. 宁波大学学报（理工版）网址: http://journallg.nbu.edu.cn/ 基金项目: 教育部人文社科基金（15YJA910004, 18YJC910012）; 浙江省自然科学基金（LY17G010003）. 第一作者: 黄婵（1994－）, 女, 山西大同人, 在读硕士研究生, 主要研究方向: 金融数学. E-mail: hotop2015@163.com *通信作者: 王伟（1982－）, 男, 安徽安庆人, 博士/副教授, 主要研究方向: 金融数学. E-mail: wangwei2@nbu.edu.cn 宁波大学学报（理工版）网址：http://journallg.nbu.edu.cn/ |
