通货膨胀和死亡风险下部分信息下DC计划的最优资产配置
Optimal asset allocation for a DC plan with partial information under inflation and mortality risks
摘要：
本文研究了具有固定缴款的养老金计划在积累阶段的资产配置随机问题。考虑一个随机利率的金融市场，由一个无风险资产、一个实际零息债券价格、通货膨胀挂钩债券和一个风险资产组成.计划成员的目标是最大化从终端财富中获得的预期电力效用。为了保障在退休前去世的成员的权利，我们引入一项条款，容许提取其保费，而差额则分配予尚存的成员。除了死亡风险外，基金经理还考虑了工资和通货膨胀风险。然后，我们利用部分信息下的充分极大值原理方法，得到了资产配置问题的封闭解。最后,我们给出了数值结果.
英文摘要：
We study an asset allocation stochastic problem with restriction for a defined-contribution pension plan during the accumulation phase. We consider a financial market with stochastic interest rate, composed of a risk-free asset, a real zero coupon bond price, the inflation-linked bond and the risky asset. A plan member aims to maximize the expected power utility derived from the terminal wealth. In order to protect the rights of a member who dies before retirement, we introduce a clause which allows to withdraw his premiums and the difference is distributed among the survival members. Besides the mortality risk, the fund manager takes into account the salary and the inflation risks. We then obtain closed form solutions for the asset allocation problem using a sufficient maximum principle approach for the problem with partial information. Finally, we give a numerical example.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
