| 养老基金投资组合的常方差弹性(CEV)模型和解析决策 |
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| 引用本文： | 肖建武,尹少华,秦成林.养老基金投资组合的常方差弹性(CEV)模型和解析决策[J].应用数学和力学,2006,27(11):1312-1318. |
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| 作者姓名： | 肖建武 尹少华 秦成林 |
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| 作者单位： | 1. 中南林业科技大学,商学院,长沙,410004
2. 上海大学,理学院,上海,200444 |
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| 摘 要： | 针对以年金形式发放待遇的缴费预定制养老基金，在退休前和退休后的两个阶段，分别构建了常方差弹性（CEV）模型，并应用Legendre变换将原问题转化为对偶问题，在追求指数效用最大化的条件下，求得了精确解析解，从而确定了这两个阶段的最优投资决策．
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| 关 键 词： | 缴费预定制养老基金 随机控制 常方差弹性(CEV)模型 Legendre 变换 解析决策 |
| 文章编号： | 1000-0887（2006）11-1312-07 |
| 收稿时间： | 2005-06-13 |
| 修稿时间： | 2006-08-03 |
Constant Elasticity of Variance (CEV) Model and Analytical Strategies for Annuity Contracts |
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| XIAO Jian-wu,YIN Shao-hua,QIN Cheng-lin.Constant Elasticity of Variance (CEV) Model and Analytical Strategies for Annuity Contracts[J].Applied Mathematics and Mechanics,2006,27(11):1312-1318. |
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| Authors: | XIAO Jian-wu YIN Shao-hua QIN Cheng-lin |
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| Institution: | 1. Business School, Central South University of Forestry and Technology, 2. School of Science, Shanghai University, Shanghai 200444, P. R. China |
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| Abstract: | The constant elasticity of variance(CEV) model was constructed to study a defined contribution pension plan where benefits were paid by annuity. It also presents the process that the Legendre transform and dual theory can be applied to find an optimal investment policy during a participant's whole life in the pension plan.Finally,two explicit solutions to exponential utility function in the two different periods(before and after retirement) were revealed.Hence,the optimal investment strategies in the two periods are obtained. |
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| Keywords: | define contribution pension plan stochastic optimal control CEV model Legendre transform analytical strategy |
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