摘要
提出了带有最低保障固定供款养老基金最优管理的连续时间随机控制模型.在奈特(Knight)不确定的基金管理者区分含糊(ambiguity)和含糊态度(ambiguity attitude)下,用α极大极小期望效用刻画其对无限区间上养老基金财富的效用,利用随机控制理论刻画基金管理者的值函数.给出了作为HJB方程解的值函数的显式解及反馈形式的最优投资策略的显式解.
A continuous-time stochastic control model of optimal management was proposed for a defined contribution pension fund with a minimum guarantee. A pension fund manager＇s utility was characterized from the fund wealth on an infinite horizon by a-maxmin expected utility （a-MEU）, by which he differentiates ambiguity and ambiguity attitude under Knightian uncertainty. Pension fund manager＇s value function was derived by the stochastic control theory. The explicit expressions for both the optimal allocation strategy in feedback form and the value function which is a solution to the HJB equation were obtained.
基金
国家自然科学基金(71171003)
安徽省高校自然科学基金(KJ2012B019
KJ2013B023)资助
