典型文献
Optimal Investment Strategy of Defined Contribution Pension Based on Bequest Motivation and Loss Aversion
文献摘要：
Under the S-shaped utility of loss aversion,this paper considers the bequest motivation of pension plan participants,ran-dom salary income before retirement and the substitution rate be-tween receiving pension benefits after retirement and wages be-fore retirement,and studies the optimal investment strategy of de-fined contribution(DC)pension.Assuming that pension funds can invest in a financial market consisting of three assets(risk-free as-set cash,rolling bonds and stocks),inflation is considered by dis-count.Under the S-shaped utility,the Lagrange method is used to find the terminal optimal surplus of pensions in retirement,so as to find the terminal optimal wealth,and then the martingale method is used to find the optimal wealth process and investment strategy.Finally,a sensitivity analysis is carried out on the the in-fluence of bequest motivation and loss aversion on the optimal in-vestment strategy of DC pension.
文献关键词：
中图分类号：
作者姓名：
XUE Juan;WANG Chuanyu;WANG Lan
作者机构：
School of Mathematics and Finance,Anhui Polytechnic University,Wuhu 241000,Anhui,China
文献出处：
引用格式：
[1]XUE Juan;WANG Chuanyu;WANG Lan-.Optimal Investment Strategy of Defined Contribution Pension Based on Bequest Motivation and Loss Aversion)[J].武汉大学自然科学学报（英文版）,2022(04):321-330
A类：
Bequest,bequest,pensions,vestment
B类：
Optimal,Investment,Strategy,Defined,Contribution,Pension,Based,Motivation,Loss,Aversion,Under,shaped,utility,loss,aversion,this,paper,considers,motivation,plan,participants,dom,salary,income,before,retirement,substitution,tween,receiving,benefits,after,wages,studies,optimal,investment,strategy,contribution,DC,Assuming,that,funds,can,financial,market,consisting,three,assets,risk,free,cash,rolling,bonds,stocks,inflation,considered,by,dis,count,Lagrange,method,used,find,terminal,surplus,so,wealth,then,martingale,process,Finally,sensitivity,analysis,carried,out,fluence
AB值：
0.529942
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