dc型养老金的最优资产配置研究

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1、Æ“è10530ÆÒ201510111098©aÒO221.63—?úma¬ÆØ©DC.P7•`]˜ïÄÆž<•‘•P“OIÇ4ùûÇƶ¡êƆOŽ‰ÆÆƉ;’êÆïÄ••‘Ň©•§9ÙA^"˜lco›FDC.P7•`]˜ïÄÆž<•‘“6¶9…¡OIÇ4ùûÇƶ¡êƆOŽ‰ÆÆƉ;’êÆïÄ••‘Ň©•§9ÙA^Æž?OnÆa¬Æǃü‰ŒÆØ©JFÏ2018–4–12ResearchintoOptimalAssetAllocationforDCPensionPlanCa

2、ndidateDengshengChenSupervisorProf.AiguoXiaoProf.HongliangLiuCollegeSchoolofMathematicsandComputationalScienceProgramMathematicsSpecializationStochasticDierentialEquationsandTheirApplicationsDegreeMasterofScienceUniversityXiangtanUniversityDateApril12th,2018Á‡Cc5,NõÆöéDC.P7•

3、`Ý]¯K?1ïÄ¿¼Øƒ'¤J,ù‰P7ë†öJøéÐë•¿„.„•3Nõ¯K–)û,©3ykóŠÄ:þ,‰XeóŠ:1˜,ïÄCEV.eÄu‘Å

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9、K•.1,ïÄa*Ñ‚¸eP7•`Ý]üÑ.b¦d‚Úó]L§©OÑl‘aÚØ‘a‘Ň©•§.Óž,ÀM-VOKŠ•8I¼ê,¿bºxXê†ãLŠÚó]ƒ',ïá..A^Ä5yn,íуAHJB•§.A^y½n,¼þïüÑÚŠ¼êLˆª.•,©ÛˆëêéþïüÑÚþêK•.Äu±þü:óŠ,©ÑXe(Ø:3CEV.e,ºx]Ý]'~‘Xžmk~OŒ;5XêéÝ]üÑK••´k~OŒ;

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11、ÅÄÇsÚÔdÅÄÇpŒ,ºx]Ý]'~;ÔdÅÄÇéÝ]üÑK•é.3•Äa*Ñ.e,a錧ÝK•XÝ]öûü›½.3Щã,ãLŠÚó]ÂþéÝ]öºxÐ)K•.3Cò>ž,Ý]öÐ=ÉãLŠK•.'…cµDC.P7;CEV.;wª);Ä5yn;a*Ñ..IABSTRACTInrecentyears,manyscholarshavestudiedtheoptimalissueofDCpensionplan,andprovidedmanyreferenceopinionsforsomefu

12、ndmanagementagencies.However,therearestillmanyproblemsthatneedtoberesolved.Basedontheexistingwork,thispaperhasdonethefollowingwork.Ontheonehand,westudytheoptimalinvestmentofDCpensionplanbasedonstochasticinterestrateandinflationunderCEVmodel.AssumethattheinterestrateobeystheVasi

13、cekmodel,andtheCPIisusedtohedgeinflation.Thefinancialmarketconsistsofarisk-freeassetandariskassetthatthepriceprocessobeystheCEVmodel.Tomaximizethewealthutilityofthepensionparticipantsattheterminalmoment,amodelisestablished.Byapplyingthedynamicprogrammingprinciple,wederivethecorr

14、espondingHJBequation.UsingtheLegendretransformationandthedual