| Issue |
Wuhan Univ. J. Nat. Sci.
Volume 28, Number 2, April 2023
|
|
|---|---|---|
| Page(s) | 129 - 140 | |
| DOI | https://doi.org/10.1051/wujns/2023282129 | |
| Published online | 23 May 2023 | |
Mathematics
CLC number: O 211.63
Optimal Investment of Defined Contribution Pension Based on Self-Protection and Minimum Security
School of Mathematics and Finance, Anhui Polytechnic University, Wuhu 241000, Anhui, China
Received:
17
September
2022
This paper mainly studies the optimal investment problem of defined contribution (DC) pension under the self-protection and minimum security. First, we apply 
theorem to obtain the differential equation of the real stock price after discounting inflation. Then, under the constraint of external guarantee of DC pension terminal wealth, self-protection is introduced to study the maximization of the expected utility of terminal wealth at retirement time and any time before retirement. The explicit solution of the optimal investment strategy of DC pension at retirement time and any time before retirement should be derived by martingale method. Finally, the influence of self-protection on the optimal investment strategy of DC pension is numerically analyzed.
Key words: defined contribution pension / minimum guarantee / self-protection / martingale method / optimal investment
Biography: WANG Lan, male, Master candidate, research direction: financial mathematics. E-mail: 1943403117@qq.com
Fundation item: Supported by the National Social Science Foundation of China (20BTJ048), and Anhui University Humanities and Social Science Research Major Project (SK2021ZD0043)
© Wuhan University 2023
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