养老基金管理的常方差弹性模型及Legendre变换-对偶解法被引量：8

A Constant Elasticity of Variance (CEV) Model and Legendre Transform Dual Solution for Defined Benefit Pension Funds Management

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摘要文章主要为待遇预定制养老基金的管理建立常方差弹性(CEV)模型,给出了相应的非线性Hamilton-Jacobi-Bellman偏微方程,应用Legendre变换将其转化为线性偏微方程,建立对偶问题.通过对偶问题的求解,从而求得原问题的精确解析解,确定风险资产和无风险资产的投资比例,以及养老金缴费水平,最终实现养老基金管理的最优资产配置和最低缴费水平. This paper presents a constant elasticity of variance model for defined pension funds management, obtains the non-linear Hamilton-Jacobi-Bellman partial differential equation, and reduces to a linear partial differential equation and the dual problems with the Legendre transform. We give the analytic solutions of the primal optimal problem by studying the dual problem. So we can find an optimal asset allocation-between a risky asset and a riskless asset-and the least contribution policy.

作者肖建武秦成林

机构地区中南林学院商学院上海大学理学院

出处《系统工程理论与实践》 EI CSCD 北大核心 2005年第9期49-53,共5页 Systems Engineering-Theory & Practice

基金交通银行基金托管部资助(514522)

关键词常方差弹性(CEV) Hamilton—Jacobi-Bellman方程 LEGENDRE变换对偶待遇预定制养老基金 constant elasticity of variance Hamilton-Jacobi-Bellman equation Legendre transform duality defined benefit pension funs

分类号 F224.11 [经济管理—国民经济]

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参考文献15

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二级参考文献11

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