内部收益保证下养老基金的最优资产配置

研究内部收益保证下DC型养老基金的最优资产配置问题。利用鞅方法,在HJM利率期限结构下求得了最优资产配置的显性解。结论表明最优投资策略分为四部分：投机策略、利率套期保值策略、基准组合的复制策略及一揽予债券卖空策略。最后对最优策略的动态行为进行了数值分析。

Collocation of Optimal Asset to Pension Fund under Internal Effects Guarantee

We consider pension fund's optimal asset allocation problem under internal guarantee.Using martin- gale method,we derive the explicit solution.The result shows that the optimal investment strategies include four parts,one is the speculative portfolio strategy;another is the hedging strategy for stochastic interest rate;the other is the replicating strategy for the benchmark portfolio which is Used as the minimum performance guarantee;the last one is the short-selling strategy of a baseket of bonds.Finally,w...