首都师范大学学报（自然科学版）2025，Vol.46Issue(1)：8-19,12.DOI:10.19789/j.1004-9398.2025.01.002
马尔科夫机制转换下考虑多因素的养老金问题
Multi factor pension problem under a Markov regime switching model
摘要
Abstract
This paper creatively introduces the Markov regime switching model into the defined contribution(DC)pension problem affected by inflation,random interest rate and other factors.It assumes that the parameters in the financial model depend on the market economy state described by the continuous time Markov chain,and obtains the explicit solution of the optimal investment strategy under the Constant Absolute Risk Aversion(CARA)utility function by using the rule of maximizing the expected utility of the wealth of the pension terminal.Finally,the numerical analysis shows that market interest rate,inflation rate and other factors have different degrees of negative impact on the proportion of venture capital investment,and the optimal investment strategy under different economic conditions has significant differences.关键词
DC型养老金/马尔科夫机制转换/通货膨胀/随机利率/最优投资Key words
DC pension/Markov regime switching/inflation/stochastic interest rate/optimal investment分类
数理科学引用本文复制引用
黄梦雷..马尔科夫机制转换下考虑多因素的养老金问题[J].首都师范大学学报（自然科学版）,2025,46(1):8-19,12.基金项目
国家自然科学基金项目(11871010) （11871010）
