The defined benefit pension system applies widely in China. The portfolio and the contribution plan are the two core issues in this system. Thus, a Heston stochastic volatility control model with the logarithm utility function for the portfolio of the defined benefit pension funds is created in this paper, and a stochastic differential Bellman equation by applying optimal control theory is obtained. But this equation is very difficult to solve, so it transfers the primal problem to the dual problem and provides an analytic solution to the primal optimal problem by applying the Legendre transform and the dual theory. In theory, the paper enriches the methods of the model specification and the model solution for the stochastic volatility control model about the portfolio. In practical level, an optimal asset allocation strategy (between a risky asset and a reckless asset) and the least contribution policy, and expressions of quantity relations between the optimal decisions and the total assets, the pension benefit, the net assets and the risk premium to achieve the utility goal are found in this paper.
XIAO Jian-wu, YIN Xi-ming
. The Optimal Portfolio Decision and Contribution Plan of Defined Benefit Pension Funds Based on a Heston Stochastic Volatility Model and Legendre Dual Transform Method[J]. Chinese Journal of Management Science, 2015
, 23(3)
: 42
-46
.
DOI: 10.16381/j.cnki.issn1003-207x.2015.03.005
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