Acta Scientiarum Naturalium Universitatis Sunyatseni ›› 2020, Vol. 59 ›› Issue (5): 19-28.doi: 10.13471/j.cnki.acta.snus.2019.10.10.2019A076

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Optimal investment strategy under a stochastic model for DC pension

DENG LimeiGU AilingYI Bo   

  1. School of Applied Mathematics, Guangdong University of Technology, Guangzhou 510520, China
  • Received:2019-10-10 Online:2020-09-25 Published:2020-09-25

Abstract: The optimal investment strategy of the participants in the DC pension plan is studied. The financial market consists of a risk-free asset and a risky asset, and the market price of risk depends on affine-form square-root stochastic model. By using the stochastic control theory and solving the corresponding Hamiltion-Jacobi-Bellman(HJB) equation, the analytic expressions of the optimal value function and the optimal investment strategy under the CRRA utility are obtained. Finally, through numerical examples, the impact of stochastic factor and appreciation rate of the risky asset on the optimal investment strategy are explained, and it is found that the wealth proportion invested in the risky asset will continue to increase when the market state is developing to a positive state; but in the same market state, the optimal investment proportion is almost not affected by the investment period when the initial wealth is large enough.

Key words: DC pension plan, optimal investment strategy, affine-form square-root stochastic model, Hamiltion-Jacobi-Bellman equation

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