Constant Elasticity of Variance (CEV) Model and Analytical Strategies for Annuity Contracts
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摘要: 针对以年金形式发放待遇的缴费预定制养老基金,在退休前和退休后的两个阶段,分别构建了常方差弹性(CEV)模型,并应用Legendre变换将原问题转化为对偶问题,在追求指数效用最大化的条件下,求得了精确解析解,从而确定了这两个阶段的最优投资决策.
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关键词:
- 缴费预定制养老基金 /
- 随机控制 /
- 常方差弹性(CEV)模型 /
- Legendre变换 /
- 解析决策
Abstract: The constant elasticity of variance (CEV) model was constructed to study a defined contribution pension plan where benefits were paid by annuity.It also presents the process that the Legendre transform and dual theory can be applied to find an optimal investment policy during a participant's whole life in the pension plan.Finally,two explicit solutions to exponential utility function in the two different periods (before and after retirement) were revealed.Hence,the optimal investment strategies in the two periods are obtained. -
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