A Distribution Phase Investment Model of Defined Contribution Pensions and Its Monte Carlo Simulation
In a defined contribution pension scheme, a postponed investment model was established with one asset having no risk and the other having risk, under the terminal performance control. Dynamic plan theory and stochastic optimal control theory were used to obtain the optimal investment strategies and the analytical solution of personal fund under optimal investment strategies. The Monte Carlo simulation was used to examine the evolution of personal fund under optimal investment strategies. The sensitivity analysis of optimal investment strategies and final annuity level were made under different values of the object annuity level, postponed investment duration, and asset quality. Some good suggestions are obtained.
a defined contribution pension scheme optimal investment strategy asset quality Monte Carlo simulation
Shuang Yao Zhan Zhang Weiqiang Huang
School of Economics and Management Shenyang University of Chemical Technology Shenyang, China School of Business Administration Northeastern University Shenyang, China
国际会议
北京
英文
870-873
2011-08-08（万方平台首次上网日期，不代表论文的发表时间）