Research On DC Pension Investment Model Under Stochastic Environment

The global ageing problem is severe,and the issue of pension appreciation and preservation has attracted much attention.It has become a way to increase the value of pension funds through investment,but the investment is accompanied by risks,so seeking the best investment has become the focus of investors.In the actual financial market,many uncertain factors affect investment returns.Studies have shown that the returns of risky assets are random and are affected by factors such as volatility.Therefore,it is of great significance to study pension investment issues in a random environment.The specific work of the thesis is as follows:First of all,this article constructs an investment model for the pension accumulation stage under stochastic environment.In the model,we introduce stochastic wages and risk asset volatility.The price of risky assets obeys the Heston volatility model,and wages are affected by the price of risky assets.Secondly,this article constructs an investment model for the pension payment stage under stochastic environment,in which we introduce factors such as the price volatility of risk assets and the mortality rate of retired employees.Finally,the stochastic control theory is used to derive the HJB equation,and obtain the explicit solution of the investment problem under the power utility function,and analyze the results through numerical simulation to get the corresponding economic significance.