Dissertation > Excellent graduate degree dissertation topics show

The Optimal Investment Strategy for Defined-Contribution Pension Plans

Author: ChenLiLi
Tutor: SunChunYan
School: Nanjing University of Finance and Economics
Course: Applied Mathematics
Keywords: Occupation pension Defined-contribution pension plans Stochastic dynamic programming Optimal investment strategy Stochastic optimal control Legendre transform Hamilton-Jacobi-bellman equation
CLC: F842.6;F272
Type: Master's thesis
Year: 2010
Downloads: 35
Quote: 0
Read: Download Dissertation

Abstract


Optimal investment problem is the basis of financial economics asset pricing and risk management, and using stochastic mathematical methods to study and solve the optimal investment problem has become a hot study in mathematical finance. But the study on the optimal investment strategy for occupational pension is being in the initial stage at home and abroad The dissertation explored the optimal investment strategy for occupational pension founds based on former study.First the dissertation gives some preliminaries, and we explain the situation of study in our subject and simply introduce the basic concepts and theorems of the stochastic optimal control and the optimal investment problem. Then in a two-independent-asset world, we study the portfolio problem of manager who wants to maximize the expected utility of the terminal wealth in a complete financial market under the interest rate is a constant. Using the method of stochastic optimal control, we derive a non-linear second-order partial differential equation for the value function. As it is difficult to find a closed form solution, we transform the primary problem into a dual one by applying a Legendre transform and dual theory, and try to find an explicit solution for the optimal investment strategy under the logarithm utility function. Considering five kinds of assumptions on changes of Volatility and returns,a numerical Monte Carlo simulation is carried out to characterize the dynamic behavior of the optimal strategy. Furthermore, aiming at initial value of wealth and Contribution rate of pre-retirement annuity for the employee, sensitivity analysis is carried out . Finally, the conclusions came out and the future work was schemed out.

Related Dissertations

  1. Study on Hybrid Remanufacturing/Manufacturing Inventory Control System Based on PULL Strategy,F224
  2. Multi-objective Optimal Operation for Reservoirs,TV697.1
  3. Stochastic Optimal Control of Nonlinear Suspension of Quarter Car Model,U463.33
  4. Intelligent semi-active suspension system of stochastic nonlinear dynamics,U463.33
  5. Optimal investment and reinsurance policies with model uncertainty,F840.3;F830.9
  6. A Variational Approach to Stochastic Optimal Control Via State Moment Equations and Application,O232
  7. N risk assets to determine the contributory pensions optimal investment strategy,O211.67
  8. Optimal consumption and investment strategies with the interest rates and taxes,O211.67
  9. Coordinated Dynamic Optimization of Inventory Control and Acquisition Management in Hybrid Manufacturing and Remanufacturing Systems,F274
  10. Market Inuence of Portfolio Optimizers and Program Traders,F830.9
  11. A class of non-linear time scale power systems and its optimal control problem,O231.1
  12. Evaluatiuon on Human Capital Value of University Based on Real Option,G647.23
  13. Optimal reinsurance and investment,F840.6
  14. Optimal Control of the Insurance Company Under Solvency Constraints,F840.3
  15. Stochastic Riccati Differential Equation Driven by a Brownian Motion,O211.63
  16. The Research of Qingjiang Cascade Reservoir’s Optimal Scheduling Rules of Power Generation Based on Stochastic Dynamic Programming,F426.91
  17. The Demand of Life Insurance under Continuous-time Framework,F224
  18. A class of continuous time dynamic economic growth model optimization method,F224
  19. Utility function is a quadratic function of the optimal consumption and portfolio strategies,F832.48
  20. Optimal Investment Strategies in Proportional Reinsurance under Value-at-Risk Constraints,F840

CLC: > Economic > Economic planning and management > Enterprise economy > Enterprise planning and management decision - making
© 2012 www.DissertationTopic.Net  Mobile