In this paper, we study the optimal investment strategy of defined-contribution pension with the stochastic salary. The investor is allowed to invest in a risk-free asset and a risky asset whose price process follows ...In this paper, we study the optimal investment strategy of defined-contribution pension with the stochastic salary. The investor is allowed to invest in a risk-free asset and a risky asset whose price process follows a constant elasticity of variance model. The stochastic salary follows a stochastic differential equation, whose instantaneous volatility changes with the risky asset price all the time. The HJB equation associated with the optimal investment problem is established, and the explicit solution of the corresponding optimization problem for the CARA utility function is obtained by applying power transform and variable change technique. Finally, we present a numerical analysis.展开更多
Based on the Lie symmetry method,we derive the explicit optimal invest strategy for an investor who seeks to maximize the expected exponential(CARA)utility of the terminal wealth in a defined-contribution pension plan...Based on the Lie symmetry method,we derive the explicit optimal invest strategy for an investor who seeks to maximize the expected exponential(CARA)utility of the terminal wealth in a defined-contribution pension plan under a constant elasticity of variance model.We examine the point symmetries of the Hamilton-Jacobi-Bellman(HJB)equation associated with the portfolio optimization problem.The symmetries compatible with the terminal condition enable us to transform the(2+1)-dimensional HJB equation into a(1+1)-dimensional nonlinear equation which is linearized by its infinite-parameter Lie group of point transformations.Finally,the ansatz technique based on variables separation is applied to solve the linear equation and the optimal strategy is obtained.The algorithmic procedure of the Lie symmetry analysis method adopted here is quite general compared with conjectures used in the literature.展开更多
基金Supported by the National Natural Science Foundation of Tianjin (07JCYBJC05200)the Young Scholar Program of Tianjin University of Finance and Economics (TJYQ201201)
文摘In this paper, we study the optimal investment strategy of defined-contribution pension with the stochastic salary. The investor is allowed to invest in a risk-free asset and a risky asset whose price process follows a constant elasticity of variance model. The stochastic salary follows a stochastic differential equation, whose instantaneous volatility changes with the risky asset price all the time. The HJB equation associated with the optimal investment problem is established, and the explicit solution of the corresponding optimization problem for the CARA utility function is obtained by applying power transform and variable change technique. Finally, we present a numerical analysis.
基金supported in part by the 13th Five-Year National Key Research and Development Program of China(Grant No.2016YFCO401407)the National Natural Science Foundation of China(Grant No.72071076)+1 种基金the Beijing NaturalScience Foundation(Grant No.Z200001)the Fundamental Research Funds of the Central Universities(Grant Nos.2019MS050,2020MS043).
文摘Based on the Lie symmetry method,we derive the explicit optimal invest strategy for an investor who seeks to maximize the expected exponential(CARA)utility of the terminal wealth in a defined-contribution pension plan under a constant elasticity of variance model.We examine the point symmetries of the Hamilton-Jacobi-Bellman(HJB)equation associated with the portfolio optimization problem.The symmetries compatible with the terminal condition enable us to transform the(2+1)-dimensional HJB equation into a(1+1)-dimensional nonlinear equation which is linearized by its infinite-parameter Lie group of point transformations.Finally,the ansatz technique based on variables separation is applied to solve the linear equation and the optimal strategy is obtained.The algorithmic procedure of the Lie symmetry analysis method adopted here is quite general compared with conjectures used in the literature.
