安徽工程大学学报2024，Vol.39Issue(5)：84-94,11.
随机利率下混合养老金的最优投资策略
Optimal Investment Strategy of Hybrid Pension Under Stochastic Interest Rate
摘要
Abstract
This paper studies the optimal investment of hybrid pension plan with stochastic interest rate under the asset-liability framework.Assuming that pension assets can be invested in risk-free assets,risk assets and zero-coupon bonds,and that there is a general correlation between the interest rate process and the stock price process,this paper constructs a value function that maximizes the return of assets,under the assumption that the loss function is a quadratic function,the optimal investment strategy is obtained,and the optimal asset allocation and the optimal payment adjustment are derived by stochastic optimal control HJB method.The results show that the optimal investment of pension can be adjusted by changing the proportion of asset investment and the weight parameter of quadratic function.Hybrid pen-sion plan model can render present and future retirees more stable welfare income and provide more sta-ble contributions,which is conducive to the sustainable operation of pension plan.关键词
混合养老金/随机利率/资产负债管理/HJB方程Key words
hybrid pension plan/stochastic interest rate/asset and liability management/the HJB equation分类
管理科学引用本文复制引用
汪梦琪,王传玉,沈贝贝..随机利率下混合养老金的最优投资策略[J].安徽工程大学学报,2024,39(5):84-94,11.基金项目
安徽高校人文社会科学重大研究项目(SK2021ZD0043) （SK2021ZD0043）
