Equilibrium Investment Strategy for DC Pension Plan with Inflation and Stochastic Income under Heston's SV Model

doi:10.1155/2016/2391849

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	Equilibrium Investment Strategy for DC Pension Plan with Inflation and Stochastic Income under Heston's SV Model
	Sun, Jingyun 1,2; Li, Zhongfei 3; Li, Yongwu 4
	2016
发表期刊	MATHEMATICAL PROBLEMS IN ENGINEERING
ISSN	1024-123X
页码	18
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.
DOI	10.1155/2016/2391849
语种	英语
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
WOS类目	Engineering, Multidisciplinary ; Mathematics, Interdisciplinary Applications
WOS记录号	WOS:000375670200001
出版者	HINDAWI PUBLISHING CORP
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/22664
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.