Research On Optimal Investment Strategy Of DC Pension Considering Stochastic Salary And Management Expense

With the increasing aging of the population,how to guarantee the quality of life of the elderly after retirement has become a hot issue.As a kind of saving tool before retirement,pension can greatly maintain the living standard of the elderly after retirement.With the continuous development and improvement of the financial market,DC pension has gradually become the mainstream,which has been widely used in the global pension insurance market and widely studied in the academic circle.There are many literatures on DC pension at home and abroad,but few literatures consider stochastic salary and pension management expense under meanvariance criterion.Therefore,this dissertation studies the optimal investment problem of DC pension with stochastic salary and pension management expense under CEV model with mean-variance criterion as the decision-making objective,and divides the investment process into pre-retirement and post-retirement.The main research achievements of this dissertation are as follows:First,this dissertation studies the optimal investment strategy of DC pension based on CEV model before retirement,taking mean-variance criterion as decisionmaking objective and considering stochastic salary and pension management expense.Assume that the financial market is composed of a risky asset and a riskfree asset,in which the risky asset follows the CEV model,and the stochastic salary and pension management expense are added.The stochastic salary follows the geometric Brownian motion model,and the pension management expense are charged in proportion to the salary.In this dissertation,the mean-variance criterion is taken as the decision objective.Firstly,the stochastic dynamic programming principle is used to obtain the HJB equation,then the power transformation and variable separation method are used to obtain the optimal investment strategy display solution,and then the results are analyzed,and the quantitative relationship between the expectation of terminal wealth and the variance is calculated.Finally,the MATLAB software is used for numerical simulation.The influence of management expense,salary level,contribution rate,salary fluctuation and risk aversion coefficient on optimal investment strategy is analyzed,and the corresponding economic explanation is given.Secondly,this dissertation studies the optimal investment strategy of DC pension based on CEV model,taking mean-variance criterion as decision-making objective and considering pension management expense.Suppose that the financial market consists of a risky asset and a risk-free asset,in which the risky asset follows the CEV model and the pension management expense is added,and the pension management expense is charged according to a fixed fee.In this dissertation,the mean-variance criterion is taken as the decision objective.Firstly,the stochastic dynamic programming principle is used to obtain the HJB equation,then the power transformation and variable separation method are used to obtain the optimal investment strategy display solution,and then the results are analyzed,and the quantitative relationship between the expectation of terminal wealth and the variance is calculated.Finally,the MATLAB software is used for numerical simulation.The influence of elastic parameter and risk aversion coefficient on optimal investment strategy is analyzed,and the corresponding economic explanation is given.