Optimal Investment Strategy Of Defined Contribution Pension Based On Stochastic Life And Bequest Motivation

The aging of China’s population is increasing,and it has become one of the countries with a high degree of aging in the world.Pension fund managers continue to face increasing the pressure of payment,solving the lack of sustainability of pension funds,and ensuring the long-term stable and efficient operation of pension funds have become the primary task.Therefore,the study of pension fund plans is of great significance.And unlike DB-type pensions in the DC-type pension plan model,fund managers obtain excess returns for participants by investing in financial markets,while market risks and other investment risks are borne by participants.In recent years,more and more countries have partially or even completely switched from DB-type pension plans to DC-type pension plans.In addition,with the aging of the population and the decline of fertility,pension participants have increased the demand for inheritance motivation.The gift and inheritance directly affect income and wealth distribution.Studies have pointed out that inheritance motivation will reduce the family’s propensity to consume.Secondly,according to the pension management regulations,if the pension participant dies before retirement,the pension account needs to refund all the premiums and interest paid by the previous participant.This means that pension investment not only faces various market risks,but also needs to consider the accidental death of participants before retirement.Therefore,the study of considering the inheritance motivation and stochastic life expectancy factors for the optimal investment in pension is particularly important in the context of the current era.This paper first assumes that the random interest rate obeys the?Vasicek model and considers the risk of inflation by using Ito’s lemma to get the real stock price through discounting,and then uses the loss aversion utility function to construct a pension asset allocation model under the constraints of minimum performance.The martingale method and Lagrange method are used to solve the optimal terminal wealth of the pension plan and the optimal investment strategy at any time.Finally,the impact of bequest motivation and loss aversion parameters on the optimal investment strategy is analyzed through numerical simulation.Secondly this paper fully considers market fluctuations,uses the Heston model to describe risk assets(stocks),meanwhile it assumes random wage income and considers the return of premiums at the time of pre-retirement of pension plan participants.Then it uses random dynamic planning technology to construct the optimal asset allocation of the DC pension plan described by the CRAR utility function.By solving the HJB equation,the display solution of the optimal investment strategy and value function is obtained,and numerical analysis is carried out.The analysis results show that the investment ratio of pension plan managers in risky assets is a subtraction function of mortality.Finally,the results of this paper are summaried and the prospect of is given.