Study On Optimal Investment Strategy Of Women's Pension Based On The Minimization Of Secondary Loss Function

With the arrival of the climax of social aging,Chinese pension model has changed from a family pension based on children's support of their parents to a social pension that provides security through pension insurance.Therefore,pension issues have become a hotspot in academic research.Compared with men,women's wage levels,retirement years,and work participation rates are all in a relatively weak situation.This situation leads to inequality in pension income for men and women.Based on the background above,it is of great practical significance to study the issue of female pensions in China.Based on the existing research literature on DB pension plan and DC pension plan,this thesis transforms the gap between the DC pension plan after reform in Italy and the pre-reform DB pensions plan studied by Milazzo et al.(2018)into the problem of the gap between the male(DB+DC)pensions and female(DB+DC)pensions,which is the income gap between men's and women's pensions under the corporate employee pension insurance system.The pension fund studied in this thesis can be invested in financial markets containing two types of assets,risk-free assets and risky assets,and assumes that risky assets obey a Geometric Brownian Motion with constant interest rates and volatility.According to the difference of retirement years and salary level,pension managers divide enterprise employees into white-collar workers and blue-collar workers,and manage the wealth corresponding to the increase of female contribution rate in these two groups separately,and at the same time,target the gap between male and female pension earnings before the increase in contribution rates.By minimizing the terminal quadratic loss function,the corresponding value function is obtained,and the HJB equation is solved by using the dynamic programming principle of random control system.Finally,the optimal investment strategy of female white-collar workers and female blue-collar workers is obtained.This thesis also discusses the changing trends of optimal investment strategies and wealth assets in low-risk,normal-risk,and high-risk markets through numerical simulations,and then simulates the optimal contribution rate of women who can maximize and narrow the gap of pension income between men and women.The research results show that:(1)among the two factors of retirement age and wage level,wage level has a greater impact on the gap between men's and women's pension income;(2)the optimal investment strategy for both categories of workers is to invest in high-risk assets in the early stage,to invest in a combination of the two in the medium term,and to invest in low-risk assets in the later stage;(3)both female white-collar workers and female blue-collar workers tend to invest assets in high-risk assets for a long time in low-risk markets,while in higher-risk markets,the optimal investment strategy tends to choose a portfolio of high-risk assets and low-risk assets for a long time;(4)the optimal investment strategy of female blue-collar workers is more conservative than that of female white-collar workers;(5)after raising the female contribution rate to the optimal contribution rate,both types of workers can adopt the optimal investment strategy to narrow the gap between male and female pension income.