The Optimal Strategy to Research Pension Funds in China Based on the Loss Function
Based on the theory of actuarial present value, a pension fund investment goal can be formulated as an objective function. The mean-variance model is extended by defining the objective loss function. Furthermore, using the theory of stochastic optimal control, an optimal investment model is establis...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Ubiquity Press
2007-10-01
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| Series: | Data Science Journal |
| Subjects: | |
| Online Access: | http://datascience.codata.org/articles/473 |
| _version_ | 1818503025358012416 |
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| author | Jian-wei Gao Hong-zhen Guo Yan-cheng Ye |
| author_facet | Jian-wei Gao Hong-zhen Guo Yan-cheng Ye |
| author_sort | Jian-wei Gao |
| collection | DOAJ |
| description | Based on the theory of actuarial present value, a pension fund investment goal can be formulated as an objective function. The mean-variance model is extended by defining the objective loss function. Furthermore, using the theory of stochastic optimal control, an optimal investment model is established under the minimum expectation of loss function. In the light of the Hamilton-Jacobi-Bellman (HJB) equation, the analytic solution of the optimal investment strategy problem is derived. |
| first_indexed | 2024-12-10T21:18:20Z |
| format | Article |
| id | doaj.art-80297dfe35cb459baaa1818032ddde76 |
| institution | Directory Open Access Journal |
| issn | 1683-1470 |
| language | English |
| last_indexed | 2024-12-10T21:18:20Z |
| publishDate | 2007-10-01 |
| publisher | Ubiquity Press |
| record_format | Article |
| series | Data Science Journal |
| spelling | doaj.art-80297dfe35cb459baaa1818032ddde762022-12-22T01:33:12ZengUbiquity PressData Science Journal1683-14702007-10-01610.2481/dsj.6.S603476The Optimal Strategy to Research Pension Funds in China Based on the Loss FunctionJian-wei Gao0Hong-zhen Guo1Yan-cheng Ye2School of Business Administration, North China Electric Power University, Beijing, 102206, ChinaSchool of Business Administration, North China Electric Power University, Beijing, 102206, ChinaCollege of Mathematical Sciences, Graduate School of the Chinese Academy of Sciences, Beijing, 100049, ChinaBased on the theory of actuarial present value, a pension fund investment goal can be formulated as an objective function. The mean-variance model is extended by defining the objective loss function. Furthermore, using the theory of stochastic optimal control, an optimal investment model is established under the minimum expectation of loss function. In the light of the Hamilton-Jacobi-Bellman (HJB) equation, the analytic solution of the optimal investment strategy problem is derived.http://datascience.codata.org/articles/473Actuarial present valuePension fundsFund growth strategyInvestment strategyStochastic optimal controlLoss functionHamilton-Jacobi-Bellman equation |
| spellingShingle | Jian-wei Gao Hong-zhen Guo Yan-cheng Ye The Optimal Strategy to Research Pension Funds in China Based on the Loss Function Data Science Journal Actuarial present value Pension funds Fund growth strategy Investment strategy Stochastic optimal control Loss function Hamilton-Jacobi-Bellman equation |
| title | The Optimal Strategy to Research Pension Funds in China Based on the Loss Function |
| title_full | The Optimal Strategy to Research Pension Funds in China Based on the Loss Function |
| title_fullStr | The Optimal Strategy to Research Pension Funds in China Based on the Loss Function |
| title_full_unstemmed | The Optimal Strategy to Research Pension Funds in China Based on the Loss Function |
| title_short | The Optimal Strategy to Research Pension Funds in China Based on the Loss Function |
| title_sort | optimal strategy to research pension funds in china based on the loss function |
| topic | Actuarial present value Pension funds Fund growth strategy Investment strategy Stochastic optimal control Loss function Hamilton-Jacobi-Bellman equation |
| url | http://datascience.codata.org/articles/473 |
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