The aging society has dawned on China,and the pension industry is now considered to be a sunrise industry.In 2020,the number of people over the age of 65 in Chongqing had reached more than 5.47 million.At present,the ...The aging society has dawned on China,and the pension industry is now considered to be a sunrise industry.In 2020,the number of people over the age of 65 in Chongqing had reached more than 5.47 million.At present,the mainstream home-based care,children support,and institutional care cannot fully meet the needs of the elderly for food,housing,medical care,nursing,and entertainment.The value curve model from“Blue Ocean Strategy”is used to look for innovative,differentiated competitive strategies.Through community-sharing pension institutions,it is believed that a new model that provides lower prices and more professional medical care services for the elderly,enriches the spiritual world of the elderly with rich entertainment activities,and connects social services through an elderly studio to meet the needs of the elderly for self-realization can be introduced.展开更多
In this paper, we study the optimal investment strategy of defined-contribution pension with the stochastic salary. The investor is allowed to invest in a risk-free asset and a risky asset whose price process follows ...In this paper, we study the optimal investment strategy of defined-contribution pension with the stochastic salary. The investor is allowed to invest in a risk-free asset and a risky asset whose price process follows a constant elasticity of variance model. The stochastic salary follows a stochastic differential equation, whose instantaneous volatility changes with the risky asset price all the time. The HJB equation associated with the optimal investment problem is established, and the explicit solution of the corresponding optimization problem for the CARA utility function is obtained by applying power transform and variable change technique. Finally, we present a numerical analysis.展开更多
文摘The aging society has dawned on China,and the pension industry is now considered to be a sunrise industry.In 2020,the number of people over the age of 65 in Chongqing had reached more than 5.47 million.At present,the mainstream home-based care,children support,and institutional care cannot fully meet the needs of the elderly for food,housing,medical care,nursing,and entertainment.The value curve model from“Blue Ocean Strategy”is used to look for innovative,differentiated competitive strategies.Through community-sharing pension institutions,it is believed that a new model that provides lower prices and more professional medical care services for the elderly,enriches the spiritual world of the elderly with rich entertainment activities,and connects social services through an elderly studio to meet the needs of the elderly for self-realization can be introduced.
基金Supported by the National Natural Science Foundation of Tianjin (07JCYBJC05200)the Young Scholar Program of Tianjin University of Finance and Economics (TJYQ201201)
文摘In this paper, we study the optimal investment strategy of defined-contribution pension with the stochastic salary. The investor is allowed to invest in a risk-free asset and a risky asset whose price process follows a constant elasticity of variance model. The stochastic salary follows a stochastic differential equation, whose instantaneous volatility changes with the risky asset price all the time. The HJB equation associated with the optimal investment problem is established, and the explicit solution of the corresponding optimization problem for the CARA utility function is obtained by applying power transform and variable change technique. Finally, we present a numerical analysis.
