模糊厌恶情景下养老基金最优集中化和分散化投资策略研究

养老基金最优投资问题既是一个重要现实问题，又是一个理论前沿问题。本项目基于劳动收入风险、通货膨胀风险、长寿风险等背景风险以及衍生资产投资，研究模糊厌恶情景下养老基金最优集中化和分散化投资策略。首先分析模糊厌恶情景和背景风险对养老基金投资的作用机理；然后分别从养老基金集中化和分散化投资两个视角出发，构建极端模糊厌恶和alpha模糊厌恶两种情景下基于多种背景风险和衍生资产投资的养老基金最优投资问题；接着运用随机控制理论和方法在终端财富期望效用最大化和均值-方差准则下求解最优投资策略；最后对养老基金最优集中化和分散化投资策略进行对比研究，并对结果进行仿真模拟、实证分析和经济解释以揭示模糊厌恶情景、集中化和分散化投资管理、不同背景风险以及衍生资产投资对最优策略的影响。本项目的完成，不仅能够丰富和完善现代投资组合理论和养老金融学的相关内容，还能够为养老基金投资决策提供科学建议与有效方案。

The optimal investment problem for pension funds is not only an important realistic problem but also a theoretical front issue. Based on the background risks such as labor income risk, inflation risk, longevity risk, and the investment in derivatives, we consider the optimal centralized and decentralized investment strategies for pension funds under ambiguity aversion. We first analyze the mechanism of the ambiguity aversion and background risks on the investment of pension funds. Then, we establish the optimal investment problem for pension funds based on the background risks and the investment in derivatives under extreme ambiguity aversion and alpha ambiguity aversion from two perspectives, centralized and decentralized investment management. By using stochastic control theory and method, we derive the optimal investment strategies under the expected utility maximization and the mean-variance criterion. Finally, we compare the optimal centralized and decentralized investment strategies, and show the significant influences of ambiguity aversion, centralized and decentralized investment management, background risks and the investment in derivatives on the optimal strategies by empirical tests, numerical simulation and economic explanation. The research contents of this project not only develop the theories of modern portfolio theory and pension finance, but also provide scientific advice and effective schemes to the optimal investment strategies for pension funds.