期刊文献+

给付确定型养老金计划的动态最优控制 被引量:2

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摘要 考虑连续时间情形下给付确定型养老金模型的最优控制问题.在养老金给付期望为指数增长,目标函数为最小化贡献率风险和偿付能力风险线性组合的假设下,得到了无风险投资时的最优贡献率和最小风险.
作者 徐静 张波
出处 《自然科学进展》 北大核心 2006年第9期1174-1180,共7页
基金 国家社会科学基金(批准号:04BTJ010) 教育部人文社会科学项目(批准号:02JA79057)资助
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参考文献10

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同被引文献27

  • 1李曜.企业年金基金投资:基于理论模型和实践经验的研究[J].商业经济与管理,2007(1):46-51. 被引量:2
  • 2叶燕程,高随祥.缴费确定型企业年金最优投资策略研究[J].中国科学院研究生院学报,2007,24(2):149-153. 被引量:10
  • 3Browne S. Beating a moving target: Optimal portfolio strategies for outperforming a stochastic benchmark [ J ].Finance and Stochastics, 1999, 3:275 - 294.
  • 4Cairns A, Blake D, Dowd K. Stochastic lifestyling: Opti- mal dynamic asset allocation for defined contribution pen- sion plans [ J ]. Journal of Economic Dynamics and Con- trol, 2006, 30:843 - 877.
  • 5C, errard R, Harberman S, Vigna E. Optimal investment choices post - retirement in a defined contribution pension scheme [ J ]. Insurance : Mathematics and Economics, 2004, 35:321 - 342.
  • 6Vasicek O. An equilibrium characterization of the term structure[J]. Journal of Financial Economics, 1977, 5: 177 - 188.
  • 7S Orensen C. Dynamic asset allocation and fixed income management[ J]. Journal of Financial and Quantitative A- nalysis, 1999, 34:513 - 531.
  • 8Brennan M J, Xia Y. Stochastic interest rates and the bond - stock mix[ J]. European Finance Review, 2000, 4:197 - 210.
  • 9Boulier J F, Huang S J, Taillard G. Optimal management under stochastic interest rates : the case of a protected de- fined contribution pension fund [ J ]. Insurance : Mathe- matics and Economies, 2001, 28:173 - 189.
  • 10Brennan M J, Schwartz E S, Lagnado R. Strategic asset allocation[ J ]. Journal of Economic Dynamics and Con- trol, 1997, 21 : 137 - 140.

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