Equilibrium investment strategy for a DC pension plan with derivative trading

WANG Pei; CHEN Zheng; ZHANG Ling

doi:10.13471/j.cnki.acta.snus.2020.09.16.2020A054

您当前的位置：

首页 >

文章列表页 >

Equilibrium investment strategy for a DC pension plan with derivative trading

Research articles | 更新时间：2023-12-08

- Equilibrium investment strategy for a DC pension plan with derivative trading
- Acta Scientiarum Naturalium Universitatis Sunyatseni Vol. 60, Issue 3, Pages: 147-158(2021)
- 作者机构：
  
  1.广东金融学院经济与贸易学院，广东广州 510521
  2.中山大学管理学院，广东广州 510275
- 作者简介：
- 基金信息：
- DOI：10.13471/j.cnki.acta.snus.2020.09.16.2020A054
  CLC： O224
- Published：25 May 2021，
  
  Published Online：15 January 2021，
  
  Received：16 September 2020，
  
  Accepted：05 November 2020
扫描看全文
王佩,陈峥,张玲.基于衍生品投资的DC型养老金计划均衡投资策略[J].中山大学学报(自然科学版),2021,60(03):147-158.

WANG Pei,CHEN Zheng,ZHANG Ling.Equilibrium investment strategy for a DC pension plan with derivative trading[J].Acta Scientiarum Naturalium Universitatis Sunyatseni,2021,60(03):147-158.
王佩,陈峥,张玲.基于衍生品投资的DC型养老金计划均衡投资策略[J].中山大学学报(自然科学版),2021,60(03):147-158. DOI： 10.13471/j.cnki.acta.snus.2020.09.16.2020A054.

WANG Pei,CHEN Zheng,ZHANG Ling.Equilibrium investment strategy for a DC pension plan with derivative trading[J].Acta Scientiarum Naturalium Universitatis Sunyatseni,2021,60(03):147-158. DOI： 10.13471/j.cnki.acta.snus.2020.09.16.2020A054.

摘要

研究均值-方差准则下可投资衍生品的确定缴费型养老金计划（DC型养老金计划）的均衡投资策略。具体地，DC 型养老金计划的代表性参与者不仅可以投资于一个无风险资产和一支股票，还可以投资一个衍生品，其中股票的价格过程由随机波动率模型描述。在博弈论框架下，利用随机最优控制方法分别得到了有衍生品投资和无衍生品投资情形下的均衡投资策略和相应均衡有效前沿的解析式。最后，数值算例表明随机波动率和风险溢价对均衡有效前沿有显著影响，并发现有衍生品投资情形下的均衡有效前沿总是优于无衍生品投资情形下的均衡有效前沿。

Abstract

The equilibrium investment strategy for a DC pension plan with derivative trading under the mean-variance criterion is considered. That is to say， a representative member of the DC pension plan is allowed to invest not only in a risk-free asset and a stock， but also in a derivative. The stock price is described by a stochastic volatility model. Within the game theoretic framework， the analytic expressions of the equilibrium investment strategies and the corresponding equilibrium efficient frontiers are obtained in two cases， with and without the derivative asset. Finally， numerical examples show that the stochastic volatility and risk premium have significant impact on the equilibrium efficient frontiers， and the equilibrium efficient frontier of the case with derivative is always better than the equilibrium efficient frontier of the case without derivative.

关键词

衍生品确定缴费型养老金计划（DC型养老金计划）均衡投资策略随机波动率

Keywords

derivativesDC pension planequilibrium investment strategystochastic volatility

references

POTERBA J， RAUH J， VENTI S， et al. Defined contribution plans， defined benefit plans， and the accumulation of retirement wealth ［J］. Journal of Public Economics， 2007， 91： 2062-2086.

BLAKE D， WRIGHT D， ZHANG Y M. Age-dependent investing： optimal funding and investment strategies in defined contribution pension plans when members are rational life cycle financial planners ［J］. Journal of Economic Dynamics and Control， 2014， 38：105-124.

BATTOCCHIO P， MENONCIN F. Optimal pension management in a stochastic framework ［J］. Insurance： Mathematics and Economics， 2004， 34（1）： 79-95.

CAIRNS A J， BLAKE D， DOWD K. Stochastic lifestyling： Optimal dynamic asset allocation for defined contribution pension plans ［J］. Journal of Economic Dynamics and Control， 2006， 30（5）： 843-877.

CHEN Z， LI Z F， ZENG Y， et al. Asset allocation under loss aversion and minimum performance constraint in a DC pension plan with inflation risk ［J］. Insurance： Mathematics and Economics， 2017， 75： 137-150.

YAO H， LAI Y， MA Q， et al. Asset allocation for a dc pension fund with stochastic income and mortality risk： A multi-period mean-variance framework ［J］. Insurance： Mathematics and Economics， 2014， 54： 84-92.

GUAN G， LIANG Z. Mean-variance efficiency of DC pension plan under stochastic interest rate and mean-reverting returns ［J］. Insurance： Mathematics and Economics， 2015， 61： 99-109.

ZHANG L， ZHANG H， YAO H X. Optimal investment management for a defined contribution pension fund under imperfect information ［J］. Insurance： Mathematics and Economics， 2018， 79： 210-224.

FRENCH K R， SCHWERT G W， STAMBAUGH R F. Expected stock returns and volatility ［J］. Journal of Financial Economics，1978， 19（1）： 3-29.

HOBSON D G， ROGERS L C G. Complete models with stochastic volatility ［J］. Mathematical Finance， 1998， 8（1）： 27-48.

GAO J W. Optimal investment strategy for annuity contracts under the constant elasticity of variance （CEV） model ［J］. Insurance： Mathematics and Economics， 2009， 45（1）： 9-18.

GUAN G， LIANG Z. Optimal management of DC pension plan in a stochastic interest rate and stochastic volatility framework［J］. Insurance： Mathematics and Economics， 2014， 57： 58-66.

邓丽梅，谷爱玲，伊博. 一类随机模型下DC养老金的最优投资策略［J］.中山大学学报（自然科学版）， 2020， 59（5）： 19-28.

DENG L M， GU A L， YI B. Optimal investment strategy under a stochastic model for DC pension ［J］. Acta Scientiarum Naturalium Universitatis Sunyatseni， 2020， 59（5）： 19-28.

BJÖRK T， MURGOCI A. A general theory of Markovian time inconsistent stochastic control problems ［J］.Ssrn Electronic Journal， 2010.http：//dx.doi.org/10.2139/ssrn.1694759http://dx.doi.org/10.2139/ssrn.1694759

HE L， LIANG Z. Optimal investment strategy for the DC plan with the return of premiums clauses in a mean-variance framework ［J］. Insurance： Mathematics and Economics， 2013， 53（3）： 643-649.

WU H， ZENG Y. Equilibrium investment strategy for defined-contribution pension schemes with generalized mean-variance criterion and mortality risk ［J］. Insurance： Mathematics and Economics， 2015， 64： 396-408.

SUN J， LI Z， ZENG Y. Precommitment and equilibrium investment strategies for defined contribution pension plans under a jump-diffusion model ［J］. Insurance： Mathematics and Economics， 2016， 67： 158-172.

ZHANG L， LI D， LAI Y. Equilibrium investment strategy for a defined contribution pension plan under stochastic interest rate and stochastic volatility ［J］. Journal of Computational and Applied Mathematics， 2020， 368， 112536.

李方超，张成科，朱怀念. Heston模型下考虑工资风险和保费退还条款的DC型养老金时间一致性投资策略［J］. 系统管理学报， 2020， 29（04）： 617-628.

LI F C， ZHANG C K， ZHU H N. Time-consistent investment strategy for DC pension with salary risk and premium refund clauses in Henston model ［J］. Journal of Systems and Management， 2020， 29（04）： 617-628.

LIU J， PAN J. Dynamic derivative strategies ［J］. Journal of Financial Economics， 2003， 69（3）： 401-430 .

ESCOBAR M， FERRANDO S， RUBTSOV A. Robust portfolio choice with derivative trading under stochastic volatility ［J］. Journal of Bank and Finance， 2015， 61： 142-157.

ESCOBAR M， FERRANDO S， RUBTSOV A. Dynamic derivative strategies with stochastic interest rates and model uncertainty ［J］. Journal of Economic Dynamics and Control， 2018， 86： 49-71.

ZENG Y， LI D， CHEN Z， et al. Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility ［J］. Journal of Economic Dynamics and Control， 2018， 88： 70-103.

Views

下载量

CSCD

Alert me when the article has been cited

提交

Tools

Publicity Resources

Optimal investment strategy under a stochastic model for DC pension

Related Author

Pei WANG

Zheng CHEN

Ling ZHANG

DENG Limei

GU Ailing

YI Bo

Related Institution

Yat-sen Business School， Yat-sen University， Guangzhou

School of Applied Mathematics, Guangdong University of Technology

Postal code：510275
Tel：020-84112585，84113223 Email：xuebaozr@mail.sysu.edu.cn
Technical support is provided by Beijing Founder electronics co., LTD 京ICP备09064830号-19 京公网安备11010802024621
It is recommended to read the content of this site in Chrome&IE9+. Please switch to extreme mode in browser 360.
Cookies We use cookies to help provide and enhance our service and tailor content. By continuing, you agree to the use of cookies.

⁰