具有随机工资的养老金最优投资问题

doi:10.15960/j.cnki.issn.1007-6093.2016.01.002

Abstract

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

杨鹏. Optimal pension investment problem with stochastic salary[J]. Operations Research Transactions, doi: 10.15960/j.cnki.issn.1007-6093.2016.01.002.

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Optimal pension investment problem with stochastic salary

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