Optimal Investment Strategies for DC Pension with Stochastic Salary under the Affine Interest Rate Model

被引：4
|
作者：
Zhang, Chubing [1 ,2 ]
Rong, Ximing [2 ]
机构：
[1] Tianjin Univ Finance & Econ, Coll Business, Tianjin 300222, Peoples R China
[2] Tianjin Univ, Coll Sci, Tianjin 300072, Peoples R China
来源：
DISCRETE DYNAMICS IN NATURE AND SOCIETY | 2013年 / 2013卷
关键词：
VARIANCE CEV MODEL; CONSTANT ELASTICITY; ANNUITY CONTRACTS; TERM STRUCTURE; MANAGEMENT; PLANS;
D O I：
10.1155/2013/297875
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
We study the optimal investment strategies of DC pension, with the stochastic interest rate (including the CIR model and the Vasicek model) and stochastic salary. In our model, the plan member is allowed to invest in a risk-free asset, a zero-coupon bond, and a single risky asset. By applying the Hamilton-Jacobi-Bellman equation, Legendre transform, and dual theory, we find the explicit solutions for the CRRA and CARA utility functions, respectively.
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页数：11
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