The optimal investment strategy for DC pension plan with a dynamic investment target

doi:10.12011/1000-6788(2017)09-2209-13

	The optimal investment strategy for DC pension plan with a dynamic investment target
	Sun, Jingyun1,2 ; Li, Zhongfei 3; Li, Yongwu 4
	2017-09-01
发表期刊	Xitong Gongcheng Lilun yu Shijian/System Engineering Theory and Practice
卷号	37 期号:9 页码:2209-2221
摘要	Based on the dynamic investment target, this paper considers the optimal investment problem of the defined contribution (DC) pension plan at the phase of accumulation before retirement. We assume that the pension plan member sets an expected investment target via the income level of the member when she retires. And the pension fund is invested into the market consists of one risk-free asset and n risky assets. From the point of view of deficit and surplus, we analyze the deviation between the pension fund account and expected investment target, and formulate the continuous time portfolio problems under the quadratic loss and mean-variance criteria, respectively. The explicit expression of the optimal investment strategies for the above problems are obtained, and the relationship between the expected terminal wealth under the two optimal strategies are also analysed. Finally, some numerical examples are presented to verify our results. © 2017, Editorial Board of Journal of Systems Engineering Society of China. All right reserved.
关键词	Continuous time systems Dynamic programming Pension plans Strategic planning Continuous time Hamilton Jacobi Bellman equation Mean variance Optimal investments Optimal strategies Pension funds Quadratic loss Terminal wealth
DOI	10.12011/1000-6788(2017)09-2209-13
收录类别	EI ; SCOPUS ; 北大核心 ; CSCD ; CSSCI
ISSN	10006788
语种	中文
出版者	Systems Engineering Society of China
EI入藏号	20180104603902
文献类型	期刊论文
条目标识符	http://ir.lzufe.edu.cn/handle/39EH0E1M/991
专题	统计与数据科学学院
作者单位	1.School of Statistics, Lanzhou University of Finance and Economics, Lanzhou; 2.730020, China; 3.School of Mathematics and Statistics, Lanzhou University, Lanzhou; 4.730000, China; 5.Business School, Sun Yat-sen University, Guangzhou; 6.510275, China; 7.School of Economics and Management, Beijing University of Technology, Beijing; 8.100124, China
第一作者单位	统计与数据科学学院
推荐引用方式 GB/T 7714	Sun, Jingyun,Li, Zhongfei,Li, Yongwu. The optimal investment strategy for DC pension plan with a dynamic investment target[J]. Xitong Gongcheng Lilun yu Shijian/System Engineering Theory and Practice,2017,37(9):2209-2221.
APA	Sun, Jingyun,Li, Zhongfei,&Li, Yongwu.(2017).The optimal investment strategy for DC pension plan with a dynamic investment target.Xitong Gongcheng Lilun yu Shijian/System Engineering Theory and Practice,37(9),2209-2221.
MLA	Sun, Jingyun,et al."The optimal investment strategy for DC pension plan with a dynamic investment target".Xitong Gongcheng Lilun yu Shijian/System Engineering Theory and Practice 37.9(2017):2209-2221.