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The New Fund Pricing Research And Investment Strategy Model

Posted on:2013-09-16Degree:MasterType:Thesis
Country:ChinaCandidate:Y R DengFull Text:PDF
GTID:2249330374477019Subject:Applied Mathematics
Abstract/Summary:PDF Full Text Request
Generally Speaking, foundation means a plenty of money which is collected for some pur-pose. With the great development of financial market in China, many kinds of foundation hasbeen set up day and night. From the structure, besides of traditional open foundation, closed foun-dation, ETF and LOF, index classification fund had been brought into Chinese market in2007;From the resource of capital, besides of famous trust investment fund, accumulation fund, retire-ment allowance, insurance fund and annuity,《the management method of Occupational PensionFund》had been published in China in2004. These new kinds of funds are the resource of thisarticle.Index classification fund and Occupational Pension Fund in this article are popular new kindsof foundations in the society now, whether the price of them is reasonable? whether the investmentstrategy is suitable? These questions have great meaning for the whole society.In the first chapter, we simply introduce the basic conceptions of index classification fundand Occupational Pension Fund, clear up the people′s research results, then put forward the ques-tions which will be solved in the article. In the second chapter, we introduce some theories andknowledge used in the research.In the third chapter, we establish the mathematical model for the Yinhua SZSE100IndexClassification Fund by using no-arbitrage principle. The explicit solution was obtained by solvingpartial differential equations. Then, the effects of various parameters and leverage ratio on theprice were analyzed from financial sense. In addition, the term design was improved to make itmore reasonable, the timer was introduced under the down-and-out boundary and then the invest-ing preservation nature of the product was intensified.In the forth chapter, we establish more reasonable optimal dynamic asset allocation strategyfor Occupational Pension Fund based on the references[15]. Link the target capital to the replace-ment rate, consider the difference between actuary capital and target capital as costing function.In the pay-and-return procedure of one person, consider the minimum costing function as the op-timal strategy. Finally, based on the the numerical solutions, analysis the affection on the optimaldynamic asset allocation strategy from different people and different parameters.In the fifth chapter, we try to establish the optimal dynamic asset allocation strategy for Occu-pational Pension Fund including options based on the chapter four. Set up the HJB(Hamilton Jacobi Bellman) equation and give the the numerical solutions.At last, a summary of this dissertation has been made and further research directions are put forward.
Keywords/Search Tags:Index classification fund, Occupational Pension Fund, Black-Scholes Equation, optimal dynamic asset allocation theory, HJB equation, PDE method
PDF Full Text Request
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