论文标题
一种随机控制方法，用于定义贡献计划拆除：“金融中最讨厌，最困难的问题”
A Stochastic Control Approach to Defined Contribution Plan Decumulation: "The Nastiest, Hardest Problem in Finance"
论文作者
论文摘要
我们为定义贡献（DC）养老金计划提出了解释策略，作为最佳随机控制的问题。控件是提款金额和资产分配策略。我们对提款金额施加了最大和最小约束，并对资产分配策略施加了不缩短的限制。我们的目标函数衡量奖励是在解剖范围内预期的总撤回，并且风险是通过爆炸期结束时预期的不足（ES）来衡量的。我们基于市场随机过程的参数模型以数值来解决随机控制问题。我们发现，与固定的恒定撤回策略相比，最小提款设置为恒定的撤回金额，最佳策略的预期平均撤回明显更高，而ES风险的增加很小。对自举重新采样的历史市场数据的测试表明，该策略对于参数模型错误指定是可靠的。
We pose the decumulation strategy for a Defined Contribution (DC) pension plan as a problem in optimal stochastic control. The controls are the withdrawal amounts and the asset allocation strategy. We impose maximum and minimum constraints on the withdrawal amounts, and impose no-shorting no-leverage constraints on the asset allocation strategy. Our objective function measures reward as the expected total withdrawals over the decumulation horizon, and risk is measured by Expected Shortfall (ES) at the end of the decumulation period. We solve the stochastic control problem numerically, based on a parametric model of market stochastic processes. We find that, compared to a fixed constant withdrawal strategy, with minimum withdrawal set to the constant withdrawal amount, the optimal strategy has a significantly higher expected average withdrawal, at the cost of a very small increase in ES risk. Tests on bootstrapped resampled historical market data indicate that this strategy is robust to parametric model misspecification.
