{"title":"不确定乐观值准则下养老金固定缴款计划的最优控制","authors":"Xiantao Wang, Yuanguo Zhu","doi":"10.12988/imf.2022.912302","DOIUrl":null,"url":null,"abstract":"This paper studies a dynamic optimal investment decision of defined contribution (DC) pension with inflation. Fund managers invest capital in different assets to minimize the quadratic loss function. Considering financial market complexity and incompleteness of information, we use optimal control under uncertain optimistic value criterion to build an optimal control model for DC pension plan. The equation of optimality for the optimal control problem is used to get the optimal pension investment strategy. Finally, a numerical experiment is given as an illustration. Mathematics Subject Classification: 91G80","PeriodicalId":107214,"journal":{"name":"International Mathematical Forum","volume":"6 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"3","resultStr":"{\"title\":\"Optimal control of defined contribution pension plan under uncertain optimistic value criterion\",\"authors\":\"Xiantao Wang, Yuanguo Zhu\",\"doi\":\"10.12988/imf.2022.912302\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This paper studies a dynamic optimal investment decision of defined contribution (DC) pension with inflation. Fund managers invest capital in different assets to minimize the quadratic loss function. Considering financial market complexity and incompleteness of information, we use optimal control under uncertain optimistic value criterion to build an optimal control model for DC pension plan. The equation of optimality for the optimal control problem is used to get the optimal pension investment strategy. Finally, a numerical experiment is given as an illustration. Mathematics Subject Classification: 91G80\",\"PeriodicalId\":107214,\"journal\":{\"name\":\"International Mathematical Forum\",\"volume\":\"6 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"1900-01-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"3\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"International Mathematical Forum\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.12988/imf.2022.912302\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"International Mathematical Forum","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.12988/imf.2022.912302","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Optimal control of defined contribution pension plan under uncertain optimistic value criterion
This paper studies a dynamic optimal investment decision of defined contribution (DC) pension with inflation. Fund managers invest capital in different assets to minimize the quadratic loss function. Considering financial market complexity and incompleteness of information, we use optimal control under uncertain optimistic value criterion to build an optimal control model for DC pension plan. The equation of optimality for the optimal control problem is used to get the optimal pension investment strategy. Finally, a numerical experiment is given as an illustration. Mathematics Subject Classification: 91G80
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