均值-方差模型下DC型养老金的随机最优控制

被引：22

作者：

张初兵

荣喜民

机构：

[1] 天津大学

[2] 天津财经大学商学院

[3] 天津大学理学院

[4] 天津大学管理与经济学部

来源：

系统工程理论与实践 | 2012年 / 06期

基金：

天津市自然科学基金;

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;

D O I：

暂无

中图分类号：

O212.1 [一般数理统计]; O232 [最优控制];

学科分类号：

020208 ; 070103 ; 0714 ; 070105 ; 0711 ; 071101 ; 0811 ; 081101 ;

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.

引用

页码：1314 / 1323

页数：10

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