养老基金投资组合的常方差弹性(CEV)模型和解析决策

肖建武; 尹少华; 秦成林

养老基金投资组合的常方差弹性(CEV)模型和解析决策

1.
中南林业科技大学商学院,长沙 410004;2.上海大学理学院,上海 200444

详细信息

作者简介:
肖建武(1973- ),男,湖南人,副教授,博士(联系人.E-mail:xiaojw@126.com).

中图分类号: F224.11
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- 被引次数: 0
出版历程
- 收稿日期: 2005-06-13
- 修回日期: 2006-08-03
- 刊出日期: 2006-11-15

Constant Elasticity of Variance (CEV) Model and Analytical Strategies for Annuity Contracts

1.
Business School, Central South University of Forestry and Technology, Changsha 410004, P. R. China;

摘要

摘要: 针对以年金形式发放待遇的缴费预定制养老基金，在退休前和退休后的两个阶段，分别构建了常方差弹性(CEV)模型，并应用Legendre变换将原问题转化为对偶问题，在追求指数效用最大化的条件下，求得了精确解析解，从而确定了这两个阶段的最优投资决策．
- 缴费预定制养老基金 /
- 随机控制 /
- 常方差弹性(CEV)模型 /
- Legendre变换 /
- 解析决策
Abstract: The constant elasticity of variance (CEV) model was constructed to study a defined contribution pension plan where benefits were paid by annuity.It also presents the process that the Legendre transform and dual theory can be applied to find an optimal investment policy during a participant's whole life in the pension plan.Finally,two explicit solutions to exponential utility function in the two different periods (before and after retirement) were revealed.Hence,the optimal investment strategies in the two periods are obtained.
- define contribution pension plan /
- stochastic optimal control /
- CEV model /
- Legendre transform /
- analytical strategy

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参考文献(13)

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