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The optimal investment strategy for defined-contribution occupational pension scheme

  • YE Yan-Cheng ,
  • GAO Sui-Xiang
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  • School of Mathematical Sciences, Graduate University of Chinese Academy of Sciences, Beijing 100049, China

Received date: 1900-01-01

  Revised date: 1900-01-01

  Online published: 2007-03-15

Abstract

This paper applies the theory of stochastic optimal control to deal with the optimal investment strategy problem for defined-contribution occupational pension scheme, sets up the optimal investment models under the minimum payment loss of the occupational pension fund in the deterministic and stochastic contribution cases separately, solves the HJB equations to obtain the explicit form solutions of the optimal investment decision and payment polices, and then uses Monte Carlo simulation for the optimal strategy in the deterministic contribution case.

Cite this article

YE Yan-Cheng , GAO Sui-Xiang . The optimal investment strategy for defined-contribution occupational pension scheme[J]. Journal of University of Chinese Academy of Sciences, 2007 , 24(2) : 149 -153 . DOI: 10.7523/j.issn.2095-6134.2007.2.002

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