随机缴费流下DC型企业年金基金的动态投资策略

Optimal investment strategies for DC occupational pension fund based stochastic contribution flow model:under the constraint of a minimum guarantee

在连续时间金融市场中建立了具有最低保障约束的缴费确定型(DC)企业年金资产配置模型,选择Vasicek模型刻画利率,建立新的随机缴费流模型,选择CARA效用函数,在满足企业年金终期财富超过最低保障的约束条件下得到了使终期财富期望效用最大的配置策略,最后对基金的最优策略进行数值模拟分析,分析结果表明最优策略具有生命周期投资风格的特征.

In this paper,the asset allocation model for DC occupational pension fund with the minimum guarantee constraint in the continuous time financial market is established.The paper selects Vasicek model to describe interest rates and constructs a new stochastic contribution flow model.We choose CRRA as the utility function and obtains the optimal strategies that maximize the expected utility of the terminal wealth under the constraint of a minimum guarantee.Finally,the analysis of numerical simulation for the optimal strategies have been given,and the results show that the optimal strategies have the same feature as life cycle investment style.