CEV模型下有随机工资DC型养老金的最优投资

Optimal Investment for DC Pension with Stochastic Salary under a CEV Model

针对风险资产服从常方差弹性(CEV)模型,研究考虑随机工资的确定缴费型养老金的最优投资问题.在模型中,养老基金被允许投资于一种无风险资产和一种风险资产.在对数效用函数下,通过建立相应问题的HJB方程,利用Legendre转换和对偶理论等对问题进行分析,给出了问题的显性解,并对结果进行了相关分析,从而为养老金管理者提供了有效的决策依据.

This paper studies the optimal investment of the DC pension plans under a constant variance elasticity （CEV） model with stochastic salary. In the model, the pension funds are allowed to invest in a risk-free asset and risky asset. Under the logarithmic utility function, by applying the HJB equation, Legendre conversion and duality theory, we achieve the explicit solutions and carry out the correlation analysis which provides decision-making basis for the pension fund management.