| 随机工资下DC型企业年金的最优资产配置策略——基于鞅方法求解 |
| |
| 引用本文： | 卞世博.随机工资下DC型企业年金的最优资产配置策略——基于鞅方法求解[J].上海立信会计学院学报,2012,26(3):57-66. |
| |
| 作者姓名： | 卞世博 |
| |
| 作者单位： | 上海立信会计学院风险管理研究院,上海,201620 |
| |
| 基金项目： | 上海市教委科技创新项目 |
| |
| 摘 要： | 研究了当工资为一个随机过程时,缴费确定型(DC)企业年金如何对股票、国债以及银行存款进行最优资产配置的问题。假设企业年金的投资目标为最终财富的期望效用函数最大化,利用鞅方法给出了此优化问题的解析解。结果表明,企业年金的最优投资策略由三部分组成:Merton投机策略、工资的收入效应投机策略以及工资的随机效应对冲策略。
|
| 关 键 词： | 随机工资 DC型企业年金 资产配置策略 鞅方法 |
DC Occupational Pension Optimal Asset Allocation Strategy under Stochastic Salary: An Application of Martingale Method |
| |
| BIAN Shi-bo.DC Occupational Pension Optimal Asset Allocation Strategy under Stochastic Salary: An Application of Martingale Method[J].Journal of Shanghai Lixin University of Commerce,2012,26(3):57-66. |
| |
| Authors: | BIAN Shi-bo |
| |
| Institution: | BIAN Shi-bo(Risk Management Research Institute, Shanghai Lixin University of Commerce,Shanghai 201620,China) |
| |
| Abstract: | Based on the salary as a random process,the paper studies how to optimally allocate defined-contribution(DC) occupational pension among the stocks,bond and bank deposit account.Assumed investment aim of DC occupational pension is to maximize the expected utility of the ultimate wealth,the paper obtains solution to this optimal problem by using martingale approach.It is found that the optimal investment strategies include three parts: the Merton speculative strategy,the speculative strategy for salary income effect,and the hedge strategy for salary stochastic effect. |
| |
| Keywords: | stochastic salary DC occupational pension asset allocation strategy martingale method |
| 本文献已被 CNKI 万方数据 等数据库收录！ |
