论文标题
基于规则的动态生命周期投资策略
Rule-based Strategies for Dynamic Life Cycle Investment
论文作者
论文摘要
在这项工作中，我们考虑了基于规则的投资策略，用于管理荷兰养老基金测试模型下的定义供款储蓄计划。我们发现，基于动态规则的投资可以胜过传统的静态策略，这意味着养老金领取者可以以较高的可能性获得目标退休收入，并在未达到目标时限制短缺。与流行的动态编程技术相比，基于规则的策略在整个时间内具有更稳定的资产分配，并避免过度交易，这可能很难向投资者解释。我们还研究了这项工作中基于规则的目标和动态编程的综合策略。这项工作的另一个关键特征是，我们的设置没有无风险的资产，而是引入了匹配的投资组合供投资者避免不必要的风险。
In this work, we consider rule-based investment strategies for managing a defined contribution saving scheme under the Dutch pension fund testing model. We found that dynamic rule-based investment can outperform traditional static strategies, by which we mean that the pensioner can achieve the target retirement income with higher probability and limit the shortfall when target is not met. In comparison with the popular dynamic programming technique, the rule-based strategy has a more stable asset allocation throughout time and avoid excessive transactions, which may be hard to explain to the investor. We also study a combined strategy of rule based target and dynamic programming in this work. Another key feature of this work is that there is no risk-free asset under our setting, instead, a matching portfolio is introduced for the investor to avoid unnecessary risk.
