检索结果-南通市图书馆

Defined Contribution Pension Planning with the return of premiums clauses and HARA Preference in Stochastic Environments

引用

Acta Mathematicae Applicatae Sinica 2023年第2期39卷 396-423页

作者： Hao CHANG Xing-jiang CHEN School of Mathematical Sciences Tiangong UniversityTianjin 300387China Department of Mathematical Sciences School of EngineeringComputer and Mathematical SciencesAuckland University of TechnologyAucklandNew Zealand

This paper studies a defined contribution(DC)pension fund investment problem with return of premiums clauses in a stochastic interest rate and stochastic volatility *** practice,most of pension plans were subject to the return of premiums clauses to protect the rights of pension members who died before *** the mathematical modeling,we assume that a part of pension members could withdraw their premiums if they died before retirement and surviving members could equally share the difference between accumulated contributions and returned *** suppose that the financial market consists of a risk-free asset,a stock,and a zero-coupon *** interest rate is driven by a stochastic affine interest rate model and the stock price follows the Heston’s stochastic volatility model with stochastic interest *** fund managers have different risk preferences,and the hyperbolic absolute risk aversion(HARA)utility function is a general one including a power utility,an exponential utility,and a logarithm utility as special *** are concerned with an optimal portfolio to maximize the expected utility of terminal wealth by choosing the HARA utility function in the *** using the principle of dynamic programming and Legendre transform-dual theory,we obtain explicit solutions of optimal *** special cases are also derived in ***,a numerical simulation is provided to illustrate our results.

关键词： defined contribution pension plan return of premiums clauses stochastic interest rate HARA preference Legendre transform-dual theory stochastic optimal control

来源：

维普期刊数据库

同方期刊数据库评论

在线全文

学校读者我要写书评

暂无评论

欢迎您,

建议与咨询留下您的常用邮箱和电话号码，以便我们向您反馈解决方案和替代方法

时间限定

文献类型

馆藏选择

核心期刊

语言

文献类型

帮助

文字说明：

检索规则说明：

检索范例：

分类表

所选分类

限定检索结果

文献类型

馆藏范围

日期分布

学科分类号

主题

机构

作者

语言

在线全文

请选择保存的检索档案：

请选择收藏分类：

通借通还

欢迎您,

建议与咨询 留下您的常用邮箱和电话号码，以便我们向您反馈解决方案和替代方法

时间限定

文献类型

馆藏选择

核心期刊

语言

文献类型

帮助

文字说明：

检索规则说明：

检索范例：

分类表

所选分类

限定检索结果

文献类型

馆藏范围

日期分布

学科分类号

主题

机构

作者

语言

在线全文

请选择保存的检索档案： 新增检索档案 确定 取消

请选择收藏分类： 新增自定义分类 确定 取消

通借通还

建议与咨询留下您的常用邮箱和电话号码，以便我们向您反馈解决方案和替代方法

请选择保存的检索档案：

请选择收藏分类：