Optimal investment strategy for DC pension plan with stochastic salary under hybrid stochastic volatility model
For the preservation and appreciation of pension funds,the optimal investment strategy for DC pension plan with interest rate risk and volatility risk was studied.Assumed that the financial market consists of a risk-free asset and a stock,where the price process of the stock followed the hybrid stochastic volatility(Heston-Hull-White)model.Setting the salary of pension plan members was stochastic.Based on maximizing the expected utility of terminal wealth,the corresponding HJB(Hamilton-Jacob-Bellman)equation was established,and the optimal investment strategy was obtained under the CARA utility function,and numerical examples were given to characterize the effects of financial parameters on the optimal investment strategy.The result shows that with the increase of the risk aversion coefficient,the investment proportion in the stock decreases,and the interest rate risk and volatility risk have a significant impact on the optimal investment strategy for DC pension plan.The result can provide guidance for fund managers.
DC pension planstochastic salaryhybrid stochastic volatilitydynamic programming approach
万方数据
维普
