Mean-variance model for DC pension plan under stochastic environment
In real life,considering stochastic interest rates and stochastic salary,consider it under the Hull-White interest rate model,and the pension can be invested in a risk-free asset and a risky as-set.In order to achieve the expected goals of plan holders,research the optimal investment problem of DC pensions with the mean-variance as the goal.Using the principle of stochastic dynamic program-ming,the HJB equation of the optimal investment is established.Through Legengre transform and duali-ty theory,the explicit solution of the efficient strategy and frontier is obtained.Finally,through the nu-merical analysis of the obtained results,the corresponding Economics explained.
DC pensionstochastic intereststochastic salarymean-variance model
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维普
