| 固定支付下养老基金资产组合CEV模型及最优投资策略 |
| |
| 引用本文： | 肖建武,尹希明.固定支付下养老基金资产组合CEV模型及最优投资策略[J].数学的实践与认识,2011,41(22). |
| |
| 作者姓名： | 肖建武 尹希明 |
| |
| 作者单位： | 1. 中南林业科技大学 商学院,湖南 长沙,410004
2. 山东大学数学学院,山东 济南,250100 |
| |
| 基金项目： | 教育部人文社会科学研究项目(10YJC790296); 湖南省情与决策咨询研究课题(0910ZZ9) |
| |
| 摘 要： | 在固定支付水平的条件之下,就养老基金资产组合问题建立常方差弹性(CEV)模型,应用随机控制原理求出了相应的非线性Hamilton-Jacobi-Bellman偏微方程,再用Legendre变换将其转化为线性偏微方程,建立对偶问题.通过对偶问题的求解,从而求得原问题的精确解析解,确定风险资产和无风险资产的最优投资比例,实现了满足养老基金既定支出水平下总资产的对数效用最大化,从实际市场的角度改进发展了经典的Merton模型结果.
|
| 关 键 词： | 固定支付 养老基金 资产组合 常方差弹性(CEV)模型 Legendre变换 |
A CEV Model and an Optimal Strategy for the Pension Funds Portfolio under Fixed Payments |
| |
| XIAO Jian-wu,YIN Xi-ming.A CEV Model and an Optimal Strategy for the Pension Funds Portfolio under Fixed Payments[J].Mathematics in Practice and Theory,2011,41(22). |
| |
| Authors: | XIAO Jian-wu YIN Xi-ming |
| |
| Institution: | XIAO Jian-wu~1,YIN Xi-ming~2 (1.Business School,Central South University of Forestry & Technology,Changsha 410004,China) (2.Mathematics Institute,Shandong University,Jinan 250100,China) |
| |
| Abstract: | The paper creates a constant elasticity of variance(CEV) model for the optimal pension funds portfolio investment under fixed payments,provides an analytic solution to the primal optimal problem by studying the Legendre transform and the dual problem,and obtains an optimal asset allocation strategy between a risky asset and a reckless asset.So the logarithm utility function of the total pension funds asset can reach the maximum.This method improves the result of Merton's model in the real market. |
| |
| Keywords: | fixed payments pension funds portfolio CEV model Legendre transform |
| 本文献已被 CNKI 万方数据 等数据库收录！ |
|
