Research Into Optimal Asset Allocation For DC Pension Plan

In recent years,many scholars have studied the optimal issue of DC pension plan,and provided many reference opinions for some fund management agencies.However,there are still many problems that need to be resolved.Based on the existing work,this paper has done the following work.On the one hand,we study the optimal investment of DC pension plan based on stochastic interest rate and inflation under CEV model.Assume that the interest rate obeys the Vasicek model,and the CPI is used to hedge inflation.The financial market consists of a risk-free asset and a risk asset that the price process obeys the CEV model.To maximize the wealth utility of the pension participants at the terminal moment,a model is established.By applying the dynamic programming principle,we derive the corresponding HJB equation.Using the Legendre transformation and the duality theory,we obtain the explicit solution of the optimal strategy under the logarithmic utility function.Finally,some numerical experiments are presented to explain the impacts of the parameters on the optimal strategy.On the other hand,we study the equilibrium strategy of DC pension plan under the jump-diffusion environment.Assume that the stock price and wage process obey the stochastic differential equations with and without jumps,respectively.Meanwhile,the M-V criterion is selected as an objective function,and the risk-averse coefficient is strongly related to the wealth value and salary income.A model is also established.Applying the dynamic programming principle,we derive the corresponding HJB e-quation,and the explicit solution of the equilibrium strategy and the expression of the corresponding value function are obtained by using a transformation theorem.Finally,some numerical experiments are also presented to explain the impacts of the jump in-tensities and risk aversion coefficient on the equilibrium strategy and equilibrium value function.Based on the above two points of the work,this paper draws the following conclu-sions.In the case of CEV model,the proportion of investment in a risk asset decreases first and then increases with time,and the effect of elasticity coefficient on investmen-t strategy also decreases first and then increases.Moreover,the volatility ?r has a large impact on the proportion of investment in a risk asset at the initial stage,but its impact is getting smaller and smaller as time goes by.The greater the volatility ?s and the volatility ?p,the smaller the proportion of investment in risky assets.More-over,the price volatility has little effect on investment proportion.In the case of the jump-diffusion model.The jump has a great influence on the formulation of investor decisions.In the initial stage,both the wealth value and wage income have an impact on investor's risk preference.When approaching retreat,investor's preference is only affected by the wealth value.