摘要
在Heston模型下,研究了以最大化期望幂效用为目标的确定缴费型养老金的最优投资问题。在模型中,养老金被允许投资于一种无风险资产(债券)和一种风险资产(股票)。风险资产(股票)的价格服从收益率和波动率均是随机的Heston模型。通过HJB方程、幂变换和变量替换求得最优投资策略的显性解,并对相应参数做了数值分析。
Under a Heston model, this paper studies the optimal investment problem of the defined-contribution pension with maximizing the expected power utility. In the model, the pension funds are allowed to invest in a risk-free asset （bond） and a risky asset （stock）. The stock price follows the Heston model, whose rate of return and volatility both are stochastic. By applying the HJB equation, power transformation and variable replacement, we find the explicit solution and carry out the numerical analysis for the corresponding parameters.
出处
《系统工程》
CSSCI
CSCD
北大核心
2012年第12期39-44,共6页
Systems Engineering
基金
天津市自然科学基金资助项目(09JCYBLJC01800)
天津财经大学优秀青年学者培育计划项目(2012)
