均值-方差模型下DC型养老金的随机最优控制被引量：22

Stochastic optimal control for DC pension under the mean-variance model

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摘要从DB型养老金转向DC型养老金已被越来越多的国家所考虑.以均值-方差为目标研究风险资产符合CEV模型的DC型养老金最优投资问题.利用随机控制建立了养老金最优投资的HJB方程,通过Legendre变换和对偶理论求得养老金的最优投资策略,最后推导出均值-方差下DC型养老金最优投资的有效前沿. More and more countries begin to consider changing from the DB type to DC type for pension. This paper researches the optimal investment problem for DC pension with the target of mean-variance and the risky asset derived by the CEV model. By the stochastic control theory, the paper establishes the HJB equation about the optimal investment of DC pension, obtains the optimal investment strategies through the Legendre transform and duality theory, and finally deduces the effective frontier of the optimal investment of DC pension under the mean-variance model.

作者张初兵荣喜民

机构地区天津大学天津财经大学商学院天津大学理学院

出处《系统工程理论与实践》 EI CSSCI CSCD 北大核心 2012年第6期1314-1323,共10页 Systems Engineering-Theory & Practice

基金天津市自然科学基金(09JcYBLJc01800)

关键词 DC型养老金均值-方差常方差弹性模型随机控制最优投资 defined-contribution pension mean-variance constant elasticity of variance model stochastic control optimal investment

分类号 O211.6 [理学—概率论与数理统计]

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