The Optimal Strategy to Research Pension Funds in China Based on the Loss Function

The Optimal Strategy to Research Pension Funds in China Based on the Loss Function

Based on the theory of actuarial present value, a pension fund investment goal can be formulated as an objective function. The mean-variance model is extended by defining the objective loss function. Furthermore, using the theory of stochastic optimal control, an optimal investment model is establis...

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Bibliographic Details
Main Authors: Jian-wei Gao, Hong-zhen Guo, Yan-cheng Ye
Format: Article
Language:English
Published: Ubiquity Press 2007-10-01
Series:Data Science Journal
Subjects:
Actuarial present value
Pension funds
Fund growth strategy
Investment strategy
Stochastic optimal control
Loss function
Hamilton-Jacobi-Bellman equation
Online Access:http://datascience.codata.org/articles/473
Description
Summary:Based on the theory of actuarial present value, a pension fund investment goal can be formulated as an objective function. The mean-variance model is extended by defining the objective loss function. Furthermore, using the theory of stochastic optimal control, an optimal investment model is established under the minimum expectation of loss function. In the light of the Hamilton-Jacobi-Bellman (HJB) equation, the analytic solution of the optimal investment strategy problem is derived.
ISSN:1683-1470

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