HARA效用下考虑DC养老金带有死亡和伤残返还条款的最优投资问题

Optimal Investment Problem for DC Pension Plan with the Death and Disability Return Clause under HARA Utility

考虑了一个带有死亡和伤残返还的DC型养老金计划的最优投资问题。以终端财富期望效用最大化为目标,利用动态规划原理建立相应的Hamilton-Jacobi-Bellman(HJB)方程,在双曲绝对风险厌恶(HARA)效用函数下得到最优解,通过数值模拟分析重要参数对最优投资策略的影响。

This paper considers the optimal investment problem of a DC pension plan with death and disability re-turns.Taking the utility maximization problem of terminal wealth expectation as the goal,the corresponding Ham-ilton Jacobi Bellman(HJB)equation is established by using the principle of dynamic programming.The optimal solution is obtained under the Hyperbolic Absolute Risk Aversion(HARA)utility function,and the impact of im-portant parameters on the optimal investment strategy is analyzed through numerical simulation.