Stochastic lifestyling: Optimal dynamic asset allocation for defined contribution pension plans

被引：147

作者：

Cairns, AJG ^{[1
]}

Blake, D

Dowd, K

机构：

[1] Heriot Watt Univ, Dept Actuarial Math & Stat, Sch Math & Comp Sci, Edinburgh EH14 4AS, Midlothian, Scotland

[2] City Univ London, Cass Business Sch, London EC1Y 8TZ, England

[3] Univ Nottingham, Sch Business, Ctr Risk & Insurance Studies, Nottingham NG8 1BB, England

来源：

JOURNAL OF ECONOMIC DYNAMICS & CONTROL | 2006年 / 30卷 / 05期

关键词：

stochastic control; optimal asset allocation; stochastic lifestyling; utility numeraire; habit formation; non-hedgeable salary risk; HJB equation;

D O I：

10.1016/j.jedc.2005.03.009

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We investigate asset-allocation strategies open to members of defined-contribution pension plans with a model that incorporates asset, salary (labour-income) and interest-rate risk. We propose a novel form of terminal utility function, incorporating habit formation, that uses the member's final salary as numeraire. The paper discusses various properties and characteristics of the optimal asset-allocation strategy both with and without the presence of non-hedgeable salary risk. Finally, we compare the performance of the optimal strategy with sonic popular alternatives used by pension providers and we conclude that it significantly enhances the welfare of a wide range of potential plan members relative to these other strategies. (c) 2005 Elsevier B.V. All rights reserved.

引用

页码：843 / 877

页数：35

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