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运筹学学报 >

2016 , Vol. 20 >Issue 1: 19 - 30

DOI: https://doi.org/10.15960/j.cnki.issn.1007-6093.2016.01.002

运筹学

具有随机工资的养老金最优投资问题

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  • 1. 西京学院应用统计与理学系, 西安 710123

收稿日期: 2014-12-05

  网络出版日期: 2016-03-15

基金资助

陕西省教育厅科研计划项目(No. 15JK2183)

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Optimal pension investment problem with stochastic salary

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  • 1. Department of applied statistics and science, Xijing University, Xi'an 710123, China

Received date: 2014-12-05

  Online published: 2016-03-15

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摘要

在三种目标函数下, 研究了具有随机工资的养老金最优投资问题. 第一种是均值-方差准则, 第二种基于效用的随机微分博弈, 第三种基于均值-方差准则的随机微分博弈. 随机微分博弈问题中博弈的双方为养老金计划投资者和金融市场, 金融市场是博弈的虚拟手. 应用线性二次控制理论求得了三种目标函数下的最优策略和值函数的显式解.

关键词： 均值-方差准则; 随机微分博弈; 线性-二次控制; 指数效用; 投资

本文引用格式

杨鹏 . 具有随机工资的养老金最优投资问题[J]. 运筹学学报, 2016 , 20(1) : 19 -30 . DOI: 10.15960/j.cnki.issn.1007-6093.2016.01.002

Abstract

Under three kinds of objective function, optimal pension investment problem with stochastic salary is studied. The first objective function is mean-variance criterion. The second is stochastic differential game based on utility. The third is stochastic differential game based on mean-variance. During stochastic differential game, the both sides of game are the pension plan investors and financial markets, and financial market is a game of virtual hand. Under three kinds of objective function, closed-form solutions for the value function are obtained by applying linear quadratic control theory as well as the optimal strategies.

Key words： mean-variance criterion; stochastic differential games; linear-quadratic control; exponential utility; investment

参考文献

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