Optimal Investment Strategy of Hybrid Pension Under Stochastic Interest Rate
This paper studies the optimal investment of hybrid pension plan with stochastic interest rate under the asset-liability framework.Assuming that pension assets can be invested in risk-free assets,risk assets and zero-coupon bonds,and that there is a general correlation between the interest rate process and the stock price process,this paper constructs a value function that maximizes the return of assets,under the assumption that the loss function is a quadratic function,the optimal investment strategy is obtained,and the optimal asset allocation and the optimal payment adjustment are derived by stochastic optimal control HJB method.The results show that the optimal investment of pension can be adjusted by changing the proportion of asset investment and the weight parameter of quadratic function.Hybrid pen-sion plan model can render present and future retirees more stable welfare income and provide more sta-ble contributions,which is conducive to the sustainable operation of pension plan.
hybrid pension planstochastic interest rateasset and liability managementthe HJB equation
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