英文标题：
《Optimal asset allocation for a DC plan with partial information under
inflation and mortality risks》
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作者：
Calisto Guambe, Rodwell Kufakunesu, Gusti Van Zyl and Conrad Beyers
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最新提交年份：
2018
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英文摘要：
We study an asset allocation stochastic problem with restriction for a defined-contribution pension plan during the accumulation phase. We consider a financial market with stochastic interest rate, composed of a risk-free asset, a real zero coupon bond price, the inflation-linked bond and the risky asset. A plan member aims to maximize the expected power utility derived from the terminal wealth. In order to protect the rights of a member who dies before retirement, we introduce a clause which allows to withdraw his premiums and the difference is distributed among the survival members. Besides the mortality risk, the fund manager takes into account the salary and the inflation risks. We then obtain closed form solutions for the asset allocation problem using a sufficient maximum principle approach for the problem with partial information. Finally, we give a numerical example.
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中文摘要：
我们研究了一个有限制的固定缴款养老金计划在积累阶段的资产配置随机问题。我们考虑一个随机利率的金融市场，由无风险资产、实际零息票债券价格、通货膨胀挂钩债券和风险资产组成。计划成员旨在最大化从终端财富中获得的预期电力效用。为了保护退休前去世的成员的权利，我们引入了一项条款，允许提取其保费，差额在存续成员之间分配。除了死亡风险外，基金经理还考虑了工资和通货膨胀风险。然后，我们使用具有部分信息的问题的充分极大值原理方法获得资产配置问题的闭式解。最后，我们给出了一个数值例子。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Mathematics 数学
二级分类：Optimization and Control 优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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