Optimal portfolios for DC pension plans under a CEV model
Optimal portfolios for DC pension plans under a CEV model
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CEV模型下DC养老金计划的最优投资组合
DOI：
10.1016/j.insmatheco.2009.01.005
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发表时间：
2009-06-01
影响因子：
1.9
通讯作者：
Gao, Jianwei
中科院分区：
文献类型：
--
作者：
Gao, Jianwei
本文研究了在DC养老金计划中寻求终端财富期望效用最大化的投资者的投资组合优化问题。本文重点研究了一种描述股票价格动态变化的常方差弹性(CEV)模型，它是几何布朗运动的推广。利用随机最优控制、功率变换和变量变换技术，我们分别得到了CRRA和CARA效用函数的显式解。每种解决方案都由移动默顿策略和修正因子组成。移动的Merton策略类似于Devold等人的结果。[Devold，P.，Bosch，P.M.，Dominguez F.I.，2003。军备合同的随机最优控制。保险：数学。经济学人。33,227-238]，而它在当前时刻具有更新的瞬时波动率，修正系数表示对冲波动率风险的补充条款。为了有时间。为了更好地理解修正因子对最优策略的影响，我们分析了修正因子的性质。最后，我们给出了一个数值模拟来说明修正因子和最优策略的性质和灵敏度。(C)2009爱思唯尔B.V.保留所有权利。
This paper studies the portfolio optimization problem for an investor who seeks to maximize the expected utility of the terminal wealth in a DC pension plan. We focus on a constant elasticity of variance (CEV) model to describe the stock price dynamics, which is an extension of geometric Brownian motion. By applying stochastic optimal control, power transform and variable change technique, we derive the explicit solutions for the CRRA and CARA utility functions, respectively. Each solution consists of a moving Merton strategy and a correction factor. The moving Merton strategy is similar to the result of Devolder et al. [Devolder, P., Bosch, P.M., Dominguez F.I., 2003. Stochastic optimal control of armunity contracts. Insurance: Math. Econom. 33, 227-238], whereas it has an updated instantaneous volatility at the current The correction factor denotes a supplement term to hedge the volatility risk. In order to have time. a better understanding of the impact of the correction factor on the optimal strategy, we analyze the property of the correction factor. Finally, we present a numerical simulation to illustrate the properties and sensitivities of the correction factor and the optimal strategy. (C) 2009 Elsevier B.V. All rights reserved.