摘要
本文研究了Vasicek随机利率下DC型养老金的随机微分博弈.金融市场是博弈的"虚拟"手,博弈中养老金计划投资者占主导.研究目标是:通过养老金计划投资者和金融市场之间的博弈,寻找最优的策略使得终止时刻财富的期望效用达到最大.在幂效用函数下,运用随机控制理论求得了最优策略和值函数的显式解.最后,解释了所研究的结果在经济上的意义,并通过数值计算分析了一些参数对最优策略的影响.
This paper investigate a stochastic differential games for DC (defined contribution plans) pension under Vasicek stochastic interest rate.The finance market as the hypothetical counterpart,the investor,as pension the leader of game.'Our goal is through the game between pension plan investor and financial market,obtain optimal strategies,to maximizes the expected utility of the terminal wealth. Under power utility function,by using stochastic control theory,We obtain closed-form solutions for the value function as well as the strategies.Finally,explain the research results in the economic sense,and though numerical calculation given the influence of some parameters on the optimal strategies.
作者
杨鹏
YANG Peng(School of Science,Xijing University,Xi'an,710123,China;School of Mathematics and Statistics,Xi'an Jiaotong University,Xi'an,710049,China)
出处
《应用概率统计》
CSCD
北大核心
2018年第5期441-449,共9页
Chinese Journal of Applied Probability and Statistics
基金
陕西省教育厅科研计划项目(批准号:15JK2183)资助
