当前位置: X-MOL 学术Probab. Eng. Inf. Sci. › 论文详情
Our official English website, www.x-mol.net, welcomes your feedback! (Note: you will need to create a separate account there.)
DETERMINISTIC INVESTMENT STRATEGY IN A DC PENSION PLAN WITH INFLATION RISK UNDER MEAN-VARIANCE CRITERION
Probability in the Engineering and Informational Sciences ( IF 1.1 ) Pub Date : 2020-05-12 , DOI: 10.1017/s026996482000025x
Xingchun Peng 1 , Fenge Chen 1
Affiliation  

This paper studies an optimal deterministic investment problem for a DC pension plan member with inflation risk. We describe the price processes of the inflation-indexed bond and the stock by a continuous diffusion process and a jump diffusion process with random parameters, respectively. The contribution rate linked to the income of the DC plan member is assumed to be a non-Markovian adapted process. Under the mean-variance criterion, we use Malliavin calculus to derive a characterization for the optimal deterministic investment strategy. In some special cases, we obtain the explicit expressions for the optimal deterministic strategies.

中文翻译:

均方差准则下具有通胀风险的 DC 养老金计划中的确定性投资策略

本文研究了具有通货膨胀风险的 DC 养老金计划成员的最优确定性投资问题。我们分别用随机参数的连续扩散过程和跳跃扩散过程来描述通货膨胀指数债券和股票的价格过程。假设与 DC 计划成员的收入相关的缴费率是一个非马尔可夫适应过程。在均值方差标准下,我们使用 Malliavin 演算推导出最优确定性投资策略的特征。在某些特殊情况下,我们获得了最优确定性策略的显式表达式。
更新日期:2020-05-12
down
wechat
bug