汉密尔顿-雅各比-贝尔曼方程
赫斯顿模型
养老金计划
随机控制
退休金
投资策略
经济
资产(计算机安全)
投资(军事)
期望效用假设
索引(排版)
功能(生物学)
微观经济学
贝尔曼方程
最优控制
计量经济学
精算学
金融经济学
财务
数理经济学
数学优化
计算机科学
数学
随机波动
进化生物学
政治学
法学
计算机安全
SABR波动模型
利润(经济学)
万维网
政治
生物
波动性(金融)
作者
Jie Ma,Hui Zhao,Ximin Rong
标识
DOI:10.1080/03610926.2019.1586938
摘要
In this article, we consider the optimal investment problem for a defined contribution (DC) pension plan with mispricing. We assume that the pension funds are allowed to invest in a risk-free asset, a market index, and a risky asset with mispricing, i.e. the prices are inconsistent in different financial markets. Assuming that the price process of the risky asset follows the Heston model, the manager of the pension fund aims to maximize the expected utility for the power utility function of terminal wealth. By applying stochastic control theory, we establish the corresponding Hamilton-Jacobi-Bellman (HJB) equation. And the optimal investment strategy is obtained for the power utility function explicitly. Finally, numerical examples are provided to analyze effects of parameters on the optimal strategy.
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