The Problems Of Nash Equilibrium Portfolio Strategies On DC Pension Funds

In this paper,we study some problems of Nash equilibrium portfolio strategies on pension managers under the game mainly.We use the standard power utility function,the goal of the pension managers is to maximize the utility of the weighted terminal wealth and relative wealth,dynamic programming method is employed to derive the optimal portfolio strategies under the Heston model with stochastic volatility and the Vasicek model with stochastic financial market interest rate and the stochastic model with income of investor,and the corresponding numerical simulation results are given by MATLAB,respectively.