论文标题
DC养老金计划的最佳投资策略和O-U流程
The optimal investment strategy of a DC pension plan under deposit loan spread and the O-U process
论文作者
论文摘要
本文致力于在Ornstein-Uhlenbeck（O-U）流程和贷款下为确定限额（DC）养老金计划的最佳投资策略投资。通过考虑无风险资产，这是由O-U流程驱动的风险资产和在金融市场中的贷款，我们首先建立了动态方程和资产市场模型，这有助于实现退休时最终财富的预期效用。其次，相应的Hamilton-Jacobi-Bellman（HJB）方程是通过动态编程原理得出的。最佳投资策略的明确表达是通过Legendre Transform方法获得的。最后，选择不同的参数来模拟明确的解决方案，并给出了最佳投资策略的财务解释。
This paper is devoted to invest an optimal investment strategy for a defined-contribution (DC) pension plan under the Ornstein-Uhlenbeck (O-U) process and the loan. By considering risk-free asset, a risky asset driven by O-U process and a loan in the financial market, we firstly set up the dynamic equation and the asset market model which are instrumental in achieving the expected utility of ultimate wealth at retirement. Secondly, the corresponding Hamilton-Jacobi-Bellman(HJB) equation is derived by means of dynamic programming principle. The explicit expression for the optimal investment strategy is obtained by Legendre transform method. Finally, different parameters are selected to simulate the explicit solution and the financial interpretation of the optimal investment strategy is given.
