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Research Papers

The Optimal Strategy to Research Pension Funds in China Based on the Loss Function

Authors:

Jian-wei Gao ,

School of Business Administration, North China Electric Power University, Beijing, 102206, China
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Hong-zhen Guo,

School of Business Administration, North China Electric Power University, Beijing, 102206, China
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Yan-cheng Ye

College of Mathematical Sciences, Graduate School of the Chinese Academy of Sciences, Beijing, 100049, China
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Abstract

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.
DOI: http://doi.org/10.2481/dsj.6.S603
How to Cite: Gao, J.-. wei ., Guo, H.-. zhen . & Ye, Y.-. cheng ., (2007). The Optimal Strategy to Research Pension Funds in China Based on the Loss Function. Data Science Journal. 6, pp.S603–S610. DOI: http://doi.org/10.2481/dsj.6.S603
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Published on 05 Oct 2007.
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