HARA效用下考虑DC养老金带有死亡和伤残返还条款的最优投资问题
Optimal Investment Problem for DC Pension Plan with the Death and Disability Return Clause under HARA Utility
杨铭 1夏登峰 1徐文静 1韩雪伟1
作者信息
- 1. 安徽工程大学 数理与金融学院,安徽 芜湖 241000
- 折叠
摘要
考虑了一个带有死亡和伤残返还的DC型养老金计划的最优投资问题.以终端财富期望效用最大化为目标,利用动态规划原理建立相应的Hamilton-Jacobi-Bellman(HJB)方程,在双曲绝对风险厌恶(HARA)效用函数下得到最优解,通过数值模拟分析重要参数对最优投资策略的影响.
Abstract
This paper considers the optimal investment problem of a DC pension plan with death and disability re-turns.Taking the utility maximization problem of terminal wealth expectation as the goal,the corresponding Ham-ilton Jacobi Bellman(HJB)equation is established by using the principle of dynamic programming.The optimal solution is obtained under the Hyperbolic Absolute Risk Aversion(HARA)utility function,and the impact of im-portant parameters on the optimal investment strategy is analyzed through numerical simulation.
关键词
DC型养老金模型/死亡返还/伤残返还/HARA效用/HJB方程Key words
DC pension model/death return/disability return/HARA utility/HJB equation引用本文复制引用
基金项目
安徽省高校自然科学研究项目重点项目(KJ2021A0514)
出版年
2024
NETL
NSTL
万方数据