The Optimal Investment Strategy Of The Mispricing DC Pension Plan Based On The Heston Model Under Variable Interest Rates

With the continuous improvement of China’s economy and living standards,the decline in mortality,the increase in life expectancy,and the decline in population fertility and birth rate,the aging problem is becoming more and more serious.So the study of pension plan is very important for the stability of society and the transition of China’s aging problem.In order to be more consistent with the real investment situation,Heston model is used to simulate stocks here.Moreover,since the investment time limit of pension is relatively long,generally 20-40 years,the interest rate is not constant but changing.Firstly,we consider the variable interest rate case,where we maximize utility by investing in a risk-free asset,a market index,and a pair of stocks with mispricing.Studied the DC pension plan based on Heston model under variable interest rate,and obtained the optimal investment strategy under the utility function by establishing the HJB equation.Through numerical simulation,the influence of mispricing and interest rate on investment strategy is analyzed.Secondly,we will rate of expansion,by variable interest rates to expand into the stochastic interest rate,to make it more in line with the reality.The capital is invested in risk-free assets and risky assets.The risky assets are driven by simple geometric Brownian motion,and the corresponding optimal solution is obtained.Finally,the sensitivity of each parameter to the optimal investment strategy is analyzed from the economic perspective through numerical simulation.