养老基金投资组合的常方差弹性(CEV)模型和解析决策被引量：16

Constant Elasticity of Variance (CEV) Model and Analytical Strategies for Annuity Contracts

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摘要针对以年金形式发放待遇的缴费预定制养老基金,在退休前和退休后的两个阶段,分别构建了常方差弹性(CEV)模型,并应用Legendre变换将原问题转化为对偶问题,在追求指数效用最大化的条件下,求得了精确解析解,从而确定了这两个阶段的最优投资决策. The constant elasticity of variance（CEV） model was constructed to study a defined contribution pension plan where benefits were paid by annuity. It also presents the process that the Legendre transform and dual theory can be applied to find an optimal investment policy during a participant＇ s whole life in the pension plan. Finally, two explicit solutions to exponential utility function in the two different periods （before and after retirement） were revealed. Hence, the optimal investment strategies in the two periods ate obtained.

作者肖建武尹少华秦成林

机构地区中南林业科技大学商学院上海大学理学院

出处《应用数学和力学》 CSCD 北大核心 2006年第11期1312-1318,共7页 Applied Mathematics and Mechanics

关键词缴费预定制养老基金随机控制常方差弹性(CEV)模型 LEGENDRE变换解析决策 define contribution pension plan stochastic optimal control CEV model Legendre transform analytical strategy

分类号 F224.11 [经济管理—国民经济]

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参考文献13

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二级参考文献15

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