中山大学曾燕老师作了一场题为“Optimal investment strategy for a loss aversion DC pension plan member with inflation risk and minimum performance constraint(对于通胀风险和最低性能约束的损失厌恶DC养老金计划成员最优投资策略)”的讲座,在职研究生讲座的主要内容是:
本文研究与损失厌恶成员的最低性能约束的固定缴款养老金计划的最优投资问题。所述构件被假定为具有随机薪水流量和通货膨胀风险对质,旨在从终端财富超过所需的最小性能通过在由索引键的金融市场投资的财富以最大化预期S形工具,股票和无风险资产。最优投资策略的显式表达式使用鞅方法得出。此外,一些数值插图呈现,显示对最优投资策略参数的影响。我们的理论和数值结果表明许多有趣的现象,如参考点在她的资产分配和增加中起重要作用。
原文:This paper studies an optimal investment problem of a defined-contribution pension plan with a minimum performance constraint for a loss-averse member. The member is assumed to have a stochastic salary flow and be confronted with inflation risk, and aims to maximize the expected S-shaped utility from the terminal wealth over the required minimum performance by investing the wealth in a financial market consisting of an indexed bond, a stock and a risk-free asset. The explicit expression of optimal investment strategy is derived using the martingale approach. In addition, some numerical illustrations are presented to show the effects of parameters on the optimal investment strategy. Our theoretical and numerical results show many interesting phenomena, such as the reference point plays an important role in her asset allocation and increasing of longevity risk leads her to invest more in the risky assets.
在职研究生报名条件是:
1、在教学、科研、专门技术、管理等方面做出成绩。2、获得学士学位后工作三年以上(含三年)或者虽无学士学位但已获硕士或博士学位者,对已获得的学士、硕士或博士学位为国(境)外的,其获得的国(境)外学位需经教育部留学服务中心认证。3、申请学科与所学专业相同或相近。完成学业后可以获得结业证,满足条件的考生可以参加全国同等学习能力人员申请硕士学位统一考试,每年5月进行全国联考,3月在学位网报名,考生在规定年限内通过考试达到及格线即可,然后进入论文写作和答辩流程,通过以后获取硕士学位。