A Study On Investment Strategies Of Defined Contribution Pension Plan Based On The Heston Model Under The Mean-variance Target

The pension system is an important part of the social pension security.With the development of the financial market and the different needs of pension plan's investment management,and in order to prevent the risks encountered by pension plan during the investment period,many studies have designed a lot of different equilibrium investment strategies applying asset portfolio pricing theory,the standard B-S model and expected utility theory.Nowadays,pension plans have a long operating cycle and a serious problem of aging population.It is very important for pension plans to obtain optimal strategy by investing in the financial market.This dissertation selects the defined contribution pension plan,which is most widely used in China.The DC pension plan only determines the contribution level.The advantage is that the company does not have to promise the level of pension.And the disadvantage is the employee's pension is not sure enough.It is important to find an equilibrium investment strategy for DC pensions plan.The main model of this dissertation is to use the Heston model to describe the price process of risky asset and add zero-coupon bonds as the third asset in the financial market setting,consider the minimum deposit in the investment process,which is related to the inflation level of the financial market and the survival rate of participants of the DC pensions plan.In addition,this dissertation is assumed that the manager charges management fees in proportion to the wealth in the process of managing the fund.The main work of this dissertation is to use Mean-Variance model as the optimal target and discuss the equilibrium strategy within the framework of Game Theory,which is in order to meet the time consistency.Finally,there are some numerical examples by using the Monte Carlo method,which more intuitively show the influence of the parameters on the equilibrium investment strategy.