中文

Operations Research Transactions >

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

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

Optimal pension investment problem with stochastic salary

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

Received date: 2014-12-05

  Online published: 2016-03-15

Fold

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

Cite this article

杨鹏 . Optimal pension investment problem with stochastic salary[J]. Operations Research Transactions, 2016 , 20(1) : 19 -30 . DOI: 10.15960/j.cnki.issn.1007-6093.2016.01.002

References

[1] Gao J. Optimal portfolios for DC pension plans under CEV model [J]. Insurance mathematics and economics, 2009,  44(2): 479-490.
[2] 林祥, 杨益非. Heston随机方差模型下确定缴费型养老金的最优投资[J].  应用数学, 2010, 23(2): 413-418.
[3] 谷爱玲, 李仲飞, 曾燕. Ornstein-Uhlenbeck模型下DC养老金计划的最优投资策略[J]. 应用数学学报, 2013,  36(4): 715-726.
[4] 张初兵, 荣喜民. 均值-方差模型下DC型养老金的随机最优控制[J].  系统工程理论与实践, 2012,  32(6): 1314-1323.
[5] Deelstra G, Grasselli M, Koehl P F. Optimal investment strategies in the presence of a minimum guarantee [J]. Mathematics and Economics, 2003,  33(1): 189-207.
[6] Battocchio P, Menoncin F. Optimal pension management in a stochastic framework [J].  Mathematics and Economics, 2004,  34(1): 79-95.
[7] Cairns A J G, Blake D, Dowd K. Stochastic life styling: Optimal dynamic asset allocation for defined contribution pension plans [J]. Journal of Economic Dynamics and Control, 2006,  30(5): 843-877
[8] 张初兵, 荣喜民, 常浩. CEV模型下有随机工资DC型养老金的最优投资[J]. 工程数学学报, 2013,  30(2): 1-8.
[9]Zhang C B, Hou R J. Optimal portfolios for DC pension with stochastic salary [C]//2011  International Conference on Business Management and Electronic Information, Guangzhou: IEEE, 2011, 589-592.
[10] Browne S. Stochastic differential portfolio games [J]. Journal of Applied Probability, 2000,  37(1): 126-147.
[11] Elliot R J, Siu T K. On risk minimizing portfolios under a markovian regime switching Black-Scholes economy [J].  Annals of Operations Research, 2010,  176(1): 217-297.
[12] Lin X, Zhang C H, Siu T K. Stochastic differential portfolio games for an insurer in a jump diffusion risk process [J]. Mathematical Methods of Operations Research, 2012,  75: 83-100.
[13] 罗琰, 杨招军. 基于随机微分博弈的保险公司最优决策模型[J]. 保险研究, 2010,  8: 48-52.
[14] 杨鹏. 随机微分博弈下的资产负债管理[J]. 中山大学学报：自然科学版, 2013,  52(6): 30-33.
[15] Zhou X, Yin G. Markowitz's mean-variance portfolio selection with regime switching: A continuous-time model [J]. SIAM Journal on control and optimal, 2003,  42(4): 1466-1482.
[16] Luenberger, D G.  Optimization by Vector Space Methods [M]. New York: John Wiley, 1968.
Options
Outlines

/

〈 〉