控制理论与应用2018，Vol.35Issue(3)：342-348,7.DOI:10.7641/CTA.2017.70213
Heston模型中具有保费退回的确定缴费型养老金均衡投资策略
Equilibrium investment strategy for defined contribution pension plans with the return of premiums clauses under Heston model
摘要
Abstract
In this paper,we study the optimal investment problem for the defined contribution(DC)pension plans under the mean-variance criterion.The financial market consists of a risk-free asset and a risky asset with Heston's stochastic volatility(SV).Furthermore,it is assumed that the pension plans have return of premium clauses to protect the rights of the plan members who die during the accumulation phase.By applying a game theoretic framework and solving the extended Hamilton-Jacobi-Bellman(HJB)systems,we derive the explicit expressions of the time-consistent equilibrium strategies,and also the equilibrium efficient frontier.As far as we known,it is the first time to study the equilibrium strategy for DC plans under the Heston's SV model,in which the return of premiums clauses is considered.In the end,some properties of the efficient strategy and the efficient frontier are presented for our results.关键词
DC养老金计划/Heston模型/均值-方差/时间一致策略/保费退回Key words
defined contribution plan/Heston model/mean-variance/time-consistent strategy/return of premiums clauses分类
管理科学引用本文复制引用
吴奕东..Heston模型中具有保费退回的确定缴费型养老金均衡投资策略[J].控制理论与应用,2018,35(3):342-348,7.基金项目
云南省教育厅科学研究基金项目(2015Y025),云南省哲学社会科学规划项目(YB2017020)资助.Supported by the Education Department Science Research Foundation of Yunnan Province(2015Y025)and the Philosophy and Social Science Project of Yunnan Province(YB2017020). （2015Y025）
