安徽工程大学学报2025，Vol.40Issue(5)：77-86,10.
遗产动机和反向抵押贷款约束下的DC型养老金最优投资
The Optimal Investment of DC-type Pensions Under Inheritance Motives and Reverse Mortgage Constraints
摘要
Abstract
In order to avoid the default risk of pension investors when conducting reverse mortgages,the effects of the level of legacy motivation,stochastic income before retirement,minimum living security after retirement and the amount of reverse mortgages on the optimal investment strategy of DC-type pensions are investigated.The first step is to establish the price stochastic differential equation with inflation and to find the real stock price through Ito's formula;then,under the constraints of minimum living security,legacy motivation and reverse mortgage level of DC-type pension,the optimal terminal wealth of DC-type pension is derived by introducing the European call option and by using Lagrange's method,and by using the harnessing method at any moment before retirement.The optimal wealth and investment strategies are shown to be solved;finally,numerical analysis of the optimal consumer investment ratio of DC-type pensions under the legacy motive and reverse mortgage constraints using Monte Carlo method shows that when the economy is in a downturn,in order to avoid defaults,the pension investor should increase the investment in low-risk-priced equities and reduce the investment in high-risk-priced indexed bonds.The results provide a good reference for DC-type pension investors.关键词
通胀风险/最低生活保障/反向抵押贷款/鞅方法Key words
inflation risk/minimum living security/reverse mortgage/martingale method分类
管理科学引用本文复制引用
沈贝贝,王传玉,汪梦琪..遗产动机和反向抵押贷款约束下的DC型养老金最优投资[J].安徽工程大学学报,2025,40(5):77-86,10.基金项目
国家社会科学基金项目(20BTJ048) （20BTJ048）
安徽省高校人文社会科学重大研究项目(SK2021ZD0043) （SK2021ZD0043）
