Optimal investment for the defined-contribution pension with stochastic

• 作 者: ZHANG Chu-bing RONG Xi-min ZHA
• 机 构: SchoolofBusiness,SchoolofScience,InternationalBusinessSchool
• 出 处: 高校应用数学学报：英文版
• 发表日期: 2013年2期
• 关键词: 随机微分方程 最优投资策略 退休金 定额 最优投资问题 HJB方程 功率变换 效用函数 Defined contribution pension plan S
• 基金项目: Supported by the National Natural Science Foundation of Tianjin （07JCYBJC05200） and the Young Scholar Program of Tianjin University of Finance and Economics （TJYQ201201）.

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.