荣喜民
- 教师拼音名称：Rong Ximin
- 出生日期：1963-09-06
- 性别：男
- 职称：副教授
- 所属院系：数学学院
Time-Consistent Investment Strategy for DC Pension Plan with Stochastic Salary Under CEV Model
点击次数:
- 所属单位:School of Sciences
- 发表刊物:JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY
- 刊物所在地:China
- 关键字:Constant elasticity of variance model; defined contribution pension plan; mean-variance criterion; s
- 摘要:This paper aims to derive the time-consistent investment strategy for the defined contribution (DC) pension plan under the mean-variance criterion. The financial market consists of a risk-free asset and a risky asset of which price process satisfies the constant elasticity of variance (CEV) model. Compared with the geometric Brownian motion model, the CEV model has the ability of capturing the implied volatility skew and explaining the volatility smile.
- 合写作者:Li Danping, Rong Ximin, ZHao Hui
- 第一作者:Li Danping
- 论文类型:Unit Twenty Basic Research
- 通讯作者:Zhao Hui
- 论文编号:SCI: DI3AC
- 卷号:29
- 期号:2
- 页面范围:428-454
- ISSN号:1009-6124
- 是否译文:否