An Application of Martingale Method for DC Pension Fund Optimal Asset Allocation Strategy under Stochastic Salary

摘要：

　　The problem of the defined-contribution (DC) pension fund how to optimally allocate her wealth among the following securities: a stock, a bond and a bank account was researched.Assumed that the DC pension invest aim is to maximize the expected utility of the terminal wealth.Using martingale approach, obtained a closed-form solution to this optimal problem.From the solution it is clear that the optimal investment strategies include three parts: one is the Merton speculative strategy, another is the speculative strategy for salary income effect, and the other is the hedge strategy for salary stochastic effect.

关键词： Stochastic salary DC pension fund Asset allocation strategy Martingale method

作者: Bian Shibo

作者单位: Risk Management Institute, Shanghai Lixin University of Commerce, Shanghai, P.R.China, 201620

会议类型: 国际会议

会议名称: The 5th Conference on Chinas Economic Operation Risk Management(2011`Shanghai)(第五届中国立信风险管理论坛)

会议地点: 上海

会议语种:英文

页码: 1-9

在线出版日期: 2011-11-04（万方平台首次上网日期，不代表论文的发表时间）