通胀风险和激励方案下DC型养老金的最优投资
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Optimal Investment of DCtype Pension under Inflation Risk and Incentive Scheme
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    摘要:

    随着我国养老金制度的逐渐完善,近年来已批准了一项绩效费用安排,作为DC养老金管理计划的管理激励措施,旨在激励管理人员;为了促使管理者们在投资方面做出更多努力,在金融市场中加入了通胀风险的因素,研究了在激励方案下的DC型养老金的最优投资策略;对于动态的资产组合,应用伊藤引理得到资产组合的动力学公式,通过增加一个辅助的劳动资本过程将原始问题转化为等价的自筹资金问题,最后从终端收益中导出最优投资策略,并通过数值分析得出通胀风险和激励方案对最优投资策略的影响;结果表明:在几何布朗运动资产价格动态和CRRA效用函数的设定下,最优投资策略比例呈峰谷分布。

    Abstract:

    With the gradually perfecting of China's pension system, in recent years, a performance fee arrangement has been approved as a management incentive measure of DCtype pension management plan to motivate the managers. In order to encourage the managers to make more efforts to work hard in investment perspective, inflation risk factor is added in financial market,and the optimal investment strategy of DCtype pension under the incentive scheme is studied. With regard to dynamic asset portfolio, Ito lemma is used to obtain the dynamics formula of asset portfolio, then, an auxiliary labor capital process is added to the asset portfolio to transform the original problem into an equivalent selffinancing problem, and finally, the optimal investment strategy is derived from the terminal returns and the influence of inflation risk and incentive scheme on the optimal investment strategy is obtained through the numerical analysis. The results show that the optimal investment strategy ratio demonstrates peak-to-valley distribution under the setting of the geometric Brownian movement asset price dynamic state and CRRA utility function.

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余鑫, 王传玉, 何学强.通胀风险和激励方案下DC型养老金的最优投资[J].重庆工商大学学报(自然科学版),2022,39(2):107-112
YU Xin, WANG Chuan-yu, HE Xue-qiang. Optimal Investment of DCtype Pension under Inflation Risk and Incentive Scheme[J]. Journal of Chongqing Technology and Business University(Natural Science Edition),2022,39(2):107-112

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  • 在线发布日期: 2022-03-25
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