基于指数效用函数的企业年金最优投资策略

Optimal Investment Strategy for Occupational Pension Based on Exponential Utility Function

在两资产世界和指数效用函数假定下,构建了反映员工自主决策的缴费确定型企业年金计划——退休前有固定投入、退休后有固定支出的连续时间随机动态规划模型,求出了退休前和退休后最优投资策略.发现最优风险资产投资比重直接取决于企业年金基金积累与连续时间无风险利率的速度.如果基金积累超过连续时间无风险利率,则该比重随着时间推移而降低,反之则随时间推移而提高,如果二者速度相当则保持稳定.缴费投入越多则最优风险资产投资比重越低,消费支出越大则最优风险资产投资比重越大.大规模的Monte Carlo模拟证明了理论推导.

In a two-asset world a continuous time stochastic dynamic programming model,which involves constant contributions before retirement and constant expense after retirement,is set up to find the optimal investment strategy for defined contributions occupational pension schemes in which the employees with exponential utility function make decisions by themselves.It＇s found that the optimal proportion invested in risky asset depends on the speed of pension assets and the risk-free rate.And the proportion decreases with time if the speed of pension assets is higher while the proportion increases if it is lower.In particular,the proportion will be stable if there is the same speed.Furthermore,the proportion decreases with the contribution and increases with the expense.The massive Monte Carlo simulations prove that.