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.
近年来,越来越多的职场人士选项攻读在职研究生提升自己,进而在职场中获得更多升职加薪的机会。上海财经大学人力资源管理在职研究生主要有面授班/网络班两种授课方式可选,其中面授班均在学校上课,双休日其中一天授课,法定节假日和寒暑假不上课;网络班即网络远程学习,学员通过直播课堂、录播回放、在线答疑等方式实现,学员可自由安排学习时间,不受地域限制。
上海财经大学在职研究生采取资格审核方式入学,无需入学资格考试,免试入学。在职研究生报名条件是:本科学历、并获得学士学位后满三年(原专业不限);虽无学士学位但已获得硕士或博士学位者。满足条件的学员全年均可向院校提交报名申请材料进行报名,完成全部课程学习并通过考核可获得结业证书;后期结业后可报名参加申硕考试,只考外国语和学科综合2门,满分均为100分,学员达到60分及格即可通过考试,学员通过考试并完成论文答辩后即可获得硕士学位证书。
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