Equilibrium Investment Strategy for DC Pension Plan with Inflation and Stochastic Income under Heston's SV Model
文献类型：期刊论文
| 作者 | Sun, Jingyun1,2; Li, Zhongfei3; Li, Yongwu4 |
| 刊名 | MATHEMATICAL PROBLEMS IN ENGINEERING
 |
| 出版日期 | 2016 |
| 页码 | 18 |
| ISSN号 | 1024-123X |
| DOI | 10.1155/2016/2391849 |
| 英文摘要 | We consider a portfolio selection problem for a defined contribution (DC) pension plan under the mean-variance criteria. We take into account the inflation risk and assume that the salary income process of the pension plan member is stochastic. Furthermore, the financial market consists of a risk-free asset, an inflation-linked bond, and a risky asset with Heston's stochastic volatility (SV). Under the framework of game theory, we derive two extended Hamilton-Jacobi-Bellman (HJB) equations systems and give the corresponding verification theorems in both the periods of accumulation and distribution of the DC pension plan. The explicit expressions of the equilibrium investment strategies, corresponding equilibrium value functions, and the efficient frontiers are also obtained. Finally, some numerical simulations and sensitivity analysis are presented to verify our theoretical results. |
| 资助项目 | National Natural Science Foundation of China[71231008] ; National Natural Science Foundation of China[71501176] ; China Postdoctoral Science Foundation[2015M580141] ; Natural Science Foundation of Guangdong Province of China[2014A030312003] ; Foundation of City Development Academy of Gansu Province of China[2014-GSCFY-KJ02] |
| WOS研究方向 | Engineering ; Mathematics |
| 语种 | 英语 |
| WOS记录号 | WOS:000375670200001 |
| 出版者 | HINDAWI PUBLISHING CORP |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/22663]  |
| 专题 | 中国科学院数学与系统科学研究院 |
| 通讯作者 | Li, Zhongfei |
| 作者单位 | 1.Lanzhou City Univ, Sch Math, Lanzhou 730070, Peoples R China 2.Lanzhou Univ, Sch Math & Stat, Lanzhou 730000, Peoples R China 3.Sun Yat Sen Univ, Sun Yat Sen Business Sch, Guangzhou 510275, Guangdong, Peoples R China 4.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China |
| 推荐引用方式 GB/T 7714 | Sun, Jingyun,Li, Zhongfei,Li, Yongwu. Equilibrium Investment Strategy for DC Pension Plan with Inflation and Stochastic Income under Heston's SV Model[J]. MATHEMATICAL PROBLEMS IN ENGINEERING,2016:18. |
| APA | Sun, Jingyun,Li, Zhongfei,&Li, Yongwu.(2016).Equilibrium Investment Strategy for DC Pension Plan with Inflation and Stochastic Income under Heston's SV Model.MATHEMATICAL PROBLEMS IN ENGINEERING,18. |
| MLA | Sun, Jingyun,et al."Equilibrium Investment Strategy for DC Pension Plan with Inflation and Stochastic Income under Heston's SV Model".MATHEMATICAL PROBLEMS IN ENGINEERING (2016):18. |
入库方式： OAI收割
来源：数学与系统科学研究院
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