Research On The Optimal Asset Allocation Of DC Pension Plan Based On Loss Aversion And Minimum Guarantee Constraints Under The Condition Of Inflation

Considering the background risk factors,it is assumed that there are three kinds of assets in the market under the inflation environment,a risk-free asset(cash),a rolling bond and a risk asset(stock).The stochastic differential equation of the real stock price after inflation is discounted by the Ito formula.This paper mainly analyzes the impact of the loss aversion,the minimum guarantee and the dividend payment on the optimal investment strategy of the DC pension plan,and the optimal asset allocation strategy of the DC pension plan is studied.First,in the framework of prospect theory,considering the problem of maximizing the expected utility of terminal wealth at retirement and using the S-type function of loss aversion,the explicit solution of the optimal investment strategy of DC pension at retirement and any time before retirement before retirement is derived by using the martingale method.And the impact of the loss aversion on the optimal asset allocation strategy of DC pension plan is analyzed through using the Monte-Carlo method,which is to provide more effective strategies for DC pension plan investors.Then,introducing European call options and resulting the problem of maximizing the expected utility of terminal wealth discounted by inflation at retirement under the minimum guarantee of the terminal wealth of DC pension plan,we use the martingale method to derive the explicit solution of the optimal asset allocation strategy of DC pension plan at retirement and any time before retirement.Then,we analyze the impact of the minimum guarantee on the optimal asset allocation strategy of DC pension plan through using the Monte-Carlo method,which is to provide more effective strategies for DC pension plan investors.In addition,this paper studies the optimal investment problem of DC pension plan with the dividend and the minimum income guarantee under the inflation environment.Assume that there are two kinds of assets in the market,a risk-free asset(cash)and a risky asset(stock).And then,considering the problem of maximizing the expected utility of terminal wealth discounted by inflation at retirement under the constraint of the internal security of the terminal wealth of the DC pension plan that is the terminal wealth always exceeds the minimum income guarantee,we use the HJB equation to derive the explicit solution of the optimal asset allocation strategy of DC pension plan at any time before retirement,which is to provide more effective strategies for DC pension plan investors.Then,the example analysis is given to analyze the influence of different parameters on the optimal asset allocation strategy.Finally,the results of this paper are summarized and the prospect of is given.