通胀风险下基于HARA效用的DC型养老金计划

doi:10.15960/j.cnki.issn.1007-6093.2016.04.005

运筹学学报

通胀风险下基于HARA效用的DC型养老金计划

常浩^1,2,* 王春峰¹ 房振明¹

1. 天津大学管理与经济学部, 天津 300072; 2. 天津工业大学理学院, 天津 300387

收稿日期:2016-05-16 出版日期:2016-12-15 发布日期:2016-12-15
通讯作者: 常浩 changhao@tjpu.edu.cn
基金资助:
国家自然科学基金(No. 71671122), 教育部人文社会科学研究规划基金(No. 16YJA790004), 中国博士后科学基金(Nos. 2014M560185, 2016T90203), 天津市自然科学基金青年项目(No.15JCQNJC 04000)

Defined contribution pension fund scheme with HARA preference under inflation risk

CHANG Hao^1,2,*WANG Chunfeng¹FANG Zhenming¹

1. College of Management and Economics, Tianjin University, Tianjin 300072, China; 2. School of Science, Tianjin Polytechnic University, Tianjin 300387, China

Received:2016-05-16 Online:2016-12-15 Published:2016-12-15

摘要/Abstract

摘要：

通货膨胀是养老基金管理过程中最直接最重要的影响因素之一. 假设通胀风险由服从几何布朗运动的物价指数来度量, 且瞬时期望通货膨胀率由Ornstein-Uhlenbeck过程来驱动. 金融市场由n+1种可连续交易的风险资产所构成, 养老基金管理者期望研究和解决通胀风险环境下DC型养老基金在累积阶段的最优投资策略问题, 以最大化终端真实财富过程的期望效用. 双曲绝对风险厌恶(HARA)效用函数具有一般的效用框架, 包含幂效用、指数效用和对数效用作为特例. 假设投资者对风险的偏好程度满足HARA效用, 运用随机最优控制理论和Legendre变换方法得到了最优投资策略的显式表达式.

关键词: 通胀风险, DC型养老金计划, HARA效用, Legendre变换-对偶理论, 最优投资策略

Abstract:

Inflation risk is one of the most direct and important influential factors in the process of pension fund scheme management. In this paper, inflation risk is supposed to be measured by price index satisfying geometric Brownian motion. And instantaneous expected inflation rate is assumed to be driven by Ornstein-Uhlenbeck process. The fund manager plans to invest his real wealth in the financial market composed of multiple risky assets and expect to maximize expected utility of terminal real wealth. His goal is to obtain the optimal investment strategy for defined contribution pension fund scheme in the accumulation phase. Hyperbolic absolute risk aversion (HARA) utility function is of general utility framework and consists of power utility, exponential utility and logarithmic utility as specific cases. This paper supposes the risky aversion degree of fund manager to satisfy HARA utility and uses stochastic dynamic programming principle along with Legendre transform-dual theory to successfully obtain the closed-form expression of the optimal investment strategy. In addition, some special cases are derived in detail.

Key words: inflation risk, DC pension fund scheme, HARA utility, Legendre transform-dual theory, optimal investment strategy

常浩, 王春峰, 房振明. 通胀风险下基于HARA效用的DC型养老金计划[J]. 运筹学学报, doi: 10.15960/j.cnki.issn.1007-6093.2016.04.005.

CHANG Hao, WANG Chunfeng, FANG Zhenming. Defined contribution pension fund scheme with HARA preference under inflation risk[J]. Operations Research Transactions, doi: 10.15960/j.cnki.issn.1007-6093.2016.04.005.

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通胀风险下基于HARA效用的DC型养老金计划

Defined contribution pension fund scheme with HARA preference under inflation risk

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