|
| 考虑红利支付和随机波动的确定缴费型养老金最优投资策略 |
| Research on Optimal Investment of Contribution Pension by Dividend Payment and Inflation Fluctuation |
| 投稿时间：2016-09-28 |
| DOI：10.16018/j.cnki.cn32-1650/n.201702014 |
| 中文关键词: 红利 随机波动 最优投资 Heston模型 指数效用 |
| 英文关键词: dividend stochastic volatility optimal investment heston model exponential utility |
| 基金项目:国家自然科学基金项目(61503001)；安徽工程大学金融工程研发中心开放基金立项(JRGCKF201501) |
|
| 摘要点击次数: 4309 |
| 全文下载次数: 3762 |
| 中文摘要: |
| 为研究红利支付和随机波动情形下确定缴费型养老金的最优投资问题，假设:(1)金融市场有2种资产，即无风险资产(银行存款)和风险资产(股票)，且养老金计划的基金投资在这2种资产上；(2)风险资产的方差服从Heston模型，且考虑了风险资产(股票)所得的红利收入。通过随机控制原理，在指数效用函数情形下获得DC型养老金最优投资的显式解，从而得出其最优投资策略为:红利率越大，相同的养老金财富水平在股票上的投资比例越大；在一定范围内，通胀波动率的增加使得投资者追加对股票的投资，但当通胀波动率较大时，投资者反而减少对股票的投资。 |
| 英文摘要: |
| This paper mainly studies the optimal investment problem for contribution pension problem by dividend payments and stochastic volatility. Suppose there are two types of assets in the financial markets, which is risk-free(deposit in bank)and risk assets(stock), and the fund of pension plan in both assets. The variance of risk assets obeys Heston model and takes the dividend income about risk assets(stock)into account. Through the stochastic control theory, we get the explicit expressions for the optional investment under the exponential utility function. And the optimal investment strategy is as follows: the greater the dividend rate, the greater the proportion of the same pension wealth in the stock investment. Within a certain range, the increase in inflation volatility makes investors invest more in stocks. But when inflation volatility fluctuates, investors reduce investment in stocks. |
|
查看全文
查看/发表评论 下载PDF阅读器 |
| 关闭 |