缴费确定型企业年金最优投资策略研究

The optimal investment strategy for defined-contribution occupational pension scheme

利用随机控制理论研究缴费确定型企业年金的最优投资策略,分别在固定缴费和随机缴费情形下,建立基于给付损失最小化的企业年金最优投资模型,通过求解HJB方程得到最优投资策略和给付水平的显式解,并对固定缴费时的最优策略进行蒙特卡洛仿真模拟.

This paper applies the theory of stochastic optimal control to deal with the optimal investment strategy problem for defined-contribution occupational pension scheme, sets up the optimal investment models under the minimum payment loss of the occupational pension funds in the deterministic and stochastic contribution cases respectively, solves the HJB equations to obtain the explicit form solutions of the optimal investment decision and payment polices, and then uses Monte Carlo simulation for the optimal strategy in the deterministic contribution case.