In this paper,we investigate an optimal investment strategy for DC pension with real estate invest-ment and stochastic salary.The pension is invested in a financial market composed of real estate,risk-free as-set and a stock,and the real estate follows a jump-diffusion process.The manager's target is to make the ex-pected utility of the terminal wealth the highest point.According to the stochastic control theory,we obtain the HJB(Hamilton-Jacobi-Bellman)equation corresponding to the value function.Under the CRRA(constant relative risk aversion)utility function,the corresponding optimal investment strategy is obtained.Finally,we use numerical simulation to analyze the impact of main parameters on the optimal investment strategy.The results show that when the average rate of return of risk assets and the rent-to-house ratio increase,fund man-agers will increase the proportion of investment in risk assets.When the volatility of risk assets rises,fund managers will reduce the proportion of investment in risk assets.
关键词
DC养老金/不动产投资/随机工资/HJB方程/CRRA效用
Key words
DC pension/real estate investment/stochastic salary/HJB equation/CRRA utility
万方数据