کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5076531 1477213 2015 13 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Nash equilibrium strategies for a defined contribution pension management
ترجمه فارسی عنوان
استراتژی های تعادلی ناس برای مدیریت بازنشستگی تعیین شده
کلمات کلیدی
سهم تعریف شده، تورم تصادفی، حقوق و دستمزد استثنایی، استراتژی تعادل نش، میانگین واریانس،
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
چکیده انگلیسی
This paper studies the time-consistent investment strategy for a defined contribution (DC) pension plan under the mean-variance criterion. Since the time horizon of a pension fund management problem is relatively long, two background risks are taken into account: the inflation risk and the salary risk. Meanwhile, there are a risk-free asset, a stock and an inflation-indexed bond available in the financial market. The extended Hamilton-Jacobi-Bellman (HJB for short) equation of the equilibrium value function and the verification theorem corresponding to our problem are presented. The closed-form time-consistent investment strategy and the equilibrium efficient frontier are obtained by stochastic control technique. The effects of the inflation and stochastic income on the equilibrium strategy and the equilibrium efficient frontier are illustrated by mathematical and numerical analysis. Finally, we compare in detail the time-consistent results in our paper with the pre-commitment one and find the distinct properties of these two results.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 62, May 2015, Pages 202-214
نویسندگان
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