运筹与管理2018，Vol.27Issue(2)：193-199,7.DOI:10.12005/orms.2018.0052
基于通货膨胀和最低保障的DC养老金最优投资
Optimal Investment of DC Pension under the Inflation and Minimum Guarantee
摘要
Abstract
This paper mainly studies the optimal investment problem of DC pension under the inflation and mini-mum guarantee.First,we use the Ito formula to derive the stochastic differential equation for the real stock price discounted by inflation.And then,introducing European call options and considering the problem of maximizing the expected utility of terminal wealth discounted by inflation at retirement under the minimum guarantee,we use the martingale method to derive the explicit solution of the optimal investment strategy of DC pension at retirement and any time before retirement.In the end, we analyze the impact of the minimum guarantee on the optimal investment strategy of DC pension through using the Monte-Carlo method.关键词
通货膨胀/最低保障/DC养老金/最优投资/鞅方法Key words
inflation/minimum guarantee/DC pension/optimal investment/martingale method分类
管理科学引用本文复制引用
王传玉,付春艳,盛国祥..基于通货膨胀和最低保障的DC养老金最优投资[J].运筹与管理,2018,27(2):193-199,7.基金项目
国家自然科学基金资助项目(61503001) （61503001）
