Equilibrium investment strategy for a defined contribution pension plan under stochastic interest rate and stochastic volatility
Equilibrium investment strategy for a defined contribution pension plan under stochastic interest rate and stochastic volatility
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随机利率和随机波动下固定缴款养老金计划的均衡投资策略
DOI：
10.1016/j.cam.2019.112536
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发表时间：
2020-04
影响因子：
2.4
通讯作者：
Yongzeng Lai
中科院分区：
文献类型：
--
作者：
Ling Zhang;Danping Li;Yongzeng Lai
本文旨在金融市场利率和波动率均随机的情况下，在均值-方差准则下寻找固定缴款养老金计划的均衡投资策略。金融市场由无风险资产、债券和风险资产组成。具体地说，本文采用仿射模型（包括Cox-Ingersoll-Ross模型和Vasicek模型作为特例）刻画利率的随机动态特性，风险资产的价格过程采用赫斯顿波动率模型描述。在纳什均衡的框架下，我们首先定义了均衡策略和均衡价值函数。然后，通过求解一个扩展的Hamilton-Jacobi-Bellman方程，我们得到了均衡投资策略和相应的均衡价值函数。进一步分析了随机利率和随机波动率对均衡投资策略和均衡有效前沿的影响。最后给出了一些数值计算结果及其经济意义.
This paper aims to find the equilibrium investment strategy for a defined contribution pension plan under the mean–variance criterion where both the interest rate and volatility are stochastic in the financial market. The financial market consists of a risk-free asset, a bond and a risky asset. Specifically, an affine model, which includes the Cox–Ingersoll–Ross model and the Vasicek model as special cases, is used to characterize the stochastic dynamics of the interest rate, and the price process of the risky asset is described by the Heston volatility model. Under the framework of Nash equilibrium, we first define the equilibrium strategy and the equilibrium value function. Then, by solving an extended Hamilton–Jacobi–Bellman equation, we obtain both the equilibrium investment strategy and the corresponding equilibrium value function explicitly. Furthermore, the effects of the stochastic interest rate and the stochastic volatility on the equilibrium investment strategy and the equilibrium efficient frontier are analyzed. Some numerical results and the economic meanings behind are also presented.
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