The Optimal Strategy to Research Pension Funds in China Based on the Loss Function

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概要

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• Based on the theory of actuarial present value, a pension fund investment goal can be formulated as an objective function. The mean-variance model is extended by defining the objective loss function. Furthermore, using the theory of stochastic optimal control, an optimal investment model is established under the minimum expectation of loss function. In the light of the Hamilton-Jacobi-Bellman (HJB) equation, the analytic solution of the optimal investment strategy problem is derived.

• CODATAの論文

著者

• Guo Hong-zhen

  School of Business Administration, North China Electric Power University

• Gao Jian-wei

  School of Business Administration, North China Electric Power University

• Ye Yan-cheng

  College of Mathematical Sciences, Graduate School of the Chinese Academy of Sciences

関連論文

• The Optimal Strategy to Research Pension Funds in China Based on the Loss Function

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