中山大学曾燕老师作了一场题为“Optimal investment strategy for a loss aversion DC pension plan member with inflation risk and minimum performance constraint(对于通胀风险和最低性能约束的损失厌恶DC养老金计划成员最优投资策略)”的讲座,在职研究生讲座的主要内容是:
本文研究与损失厌恶成员的最低性能约束的固定缴款养老金计划的最优投资问题。所述构件被假定为具有随机薪水流量和通货膨胀风险对质,旨在从终端财富超过所需的最小性能通过在由索引键的金融市场投资的财富以最大化预期S形工具,股票和无风险资产。最优投资策略的显式表达式使用鞅方法得出。此外,一些数值插图呈现,显示对最优投资策略参数的影响。我们的理论和数值结果表明许多有趣的现象,如参考点在她的资产分配和增加中起重要作用。
原文:This paper studies an optimal investment problem of a defined-contribution pension plan with a minimum performance constraint for a loss-averse member. The member is assumed to have a stochastic salary flow and be confronted with inflation risk, and aims to maximize the expected S-shaped utility from the terminal wealth over the required minimum performance by investing the wealth in a financial market consisting of an indexed bond, a stock and a risk-free asset. The explicit expression of optimal investment strategy is derived using the martingale approach. In addition, some numerical illustrations are presented to show the effects of parameters on the optimal investment strategy. Our theoretical and numerical results show many interesting phenomena, such as the reference point plays an important role in her asset allocation and increasing of longevity risk leads her to invest more in the risky assets.