Optimal DC pension investment strategies in a stochastic framework
Supposing that the stochastic interest rate follows an affine dynamics structure,we focus on the portfolio problem of a pension fund manager who wants to maximize the expected utility of the terminal wealth. Using the method of stochastic optimal control,we derive a non-linear second partial differential equation for the value function. Since it is difficult to find the closed form solution,we transform the primary problem into a dual one by applying a Legendre transform and dual theory,and we try to find the explicit solutions of the dual problem. By using dual theory,we conclude an explicit solution to the pension investment problem under the Logarithm utility function. Finally,a numerical simulation is presented.
stochastic optimal control Legendre transform Hamilton-Jacobi -Bellman equation defined contribution pension plans
Jianwei Gao Tao Li Zhonghua Chu
School of Business Administration,North China Electric Power University,Beijing,102206,China
国际会议
The First International Conference on Management Innovation(ICMI 2007)(管理创新会议)
上海
英文
1222-1227
2007-06-04（万方平台首次上网日期，不代表论文的发表时间）