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
Optimal investment for the defined-contribution pension with stochastic salary under a CEV model
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- 所属单位:Tianjin University
- 发表刊物:APPLIED MATHEMATICS-A JOURNAL OF CHINESE UNIVERSITIES SERIES B
- 刊物所在地:China
- 关键字:Defined contribution pension plan; Stochastic salary; constant elasticity of variance model; optimal
- 摘要:In this paper, we study the optimal investment strategy of defined-contribution pension with the stochastic salary. The investor is allowed to invest in a risk-free asset and a risky asset whose price process follows a constant elasticity of variance model. The stochastic salary follows a stochastic differential equation, whose instantaneous volatility changes with the risky asset price all the time. The HJB equation associated with the optimal investment problem is established, and the explicit solution of the corresponding optimization problem for the CARA utility function is obtained .
- 合写作者:Zhang Chubing, Rong XImin, Zhao Hui
- 第一作者:Zhang Chubing
- 论文类型:Unit Twenty Basic Research
- 通讯作者:Zhang CHubing
- 论文编号:SCI: 163XX
- 卷号:28
- 期号:2
- 页面范围:187-203
- ISSN号:1005-1031
- 是否译文:否