基于Heston模型的待遇预定制养老基金管理最优决策

运筹学学报 ›› 2015, Vol. 19 ›› Issue (1): 85-91.

基于Heston模型的待遇预定制养老基金管理最优决策

肖建武^1,*

1. 中南林业科技大学商学院, 长沙 410004

收稿日期:2013-05-09 出版日期:2015-03-15 发布日期:2015-03-15
通讯作者: 肖建武 E-mail:xiaojw@126.com
基金资助:
教育部人文社会科学研究基金(No. 10YJC790296), 湖南省社会科学基金(No. 13YBB229)

The optimal management for defined benefit pension of funds based on a Heston model

XIAO Jianwu^1,*

1. Business School, Central South University of Forestry and Technology, Changsha 410004, China

Received:2013-05-09 Online:2015-03-15 Published:2015-03-15

摘要/Abstract

摘要： 资产组合与缴费计划是待遇预定制养老基金管理的核心问题. 针对此类养老基金的管理, 建立Heston随机波动率模型, 结合最优控制理论和Legendre变换, 将原问题转化为对偶问题, 通过对偶问题的求解, 求得原问题的解析解, 从而确定风险资产比例和缴费水平, 最终实现养老基金管理的最优资产配置和最低缴费水平.

关键词: Heston模型, 随机波动率, Legendre变换, 对偶, 待遇预定制养老金

Abstract: The portfolio decision and contribution plan are the paramount important problems of the defined benefit pension funds. So the paper creates a Heston stochastic volatility model for the defined pension funds management, and transfers the primal problem to the dual problem by applying optimal control theory and the Legendre transform. It provides an analytic solution to the primal optimal problem by studying the dual problem. At last, an optimal asset allocation strategy (between a risky asset and a riskless asset) and the least contribution policy are obtained.

Key words: Heston model, stochastic volatility, Legendre transform, duality, defined benefit pension funds

中图分类号:

F224.11

肖建武. 基于Heston模型的待遇预定制养老基金管理最优决策[J]. 运筹学学报, 2015, 19(1): 85-91.

XIAO Jianwu. The optimal management for defined benefit pension of funds based on a Heston model[J]. Operations Research Transactions, 2015, 19(1): 85-91.

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