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Research on Optimal Asset Allocation Strategy of Pension Based on Cobb-Douglas and Epstein-Zin Recursive Utility Function

Wei LIU(), Yikang DING, Ruijie ZHAO, Li DU, Yumei MA
School of Mathematics and System Sciences, Xinjiang University, Urumqi Xinjiang 830017, China
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Abstract

This paper investigates the optimal investment and benefit adjustment for target benefit pension plan considering the longevity trend. By using the Cobb-Douglas utility function and maximizing expected utility as the optimization criterion, we aim to find robust control strategies that account for the uncertainty in the financial market models. Based on stochastic control theory, the Hamilton-Jacobi-Bellman (HJB) equation is solved to obtain explicit solutions for the value function and control strategies. Finally, numerical analysis is conducted to study the impact of influencing factors on the strategies.

Keywords

target benefit plan pensionCobb-Douglas utility functionrobust controllongevity trend
CLC number: O224;F840.67 Document code: A Article ID: 2096-7675(2025)01-0024-012

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Journal of Xinjiang University(Natural Science Edition in Chinese and English)
Volume 42 Issue 1,
January 2025
Pages 24-35,47
DOI: 10.13568/j.cnki.651094.651316.2024.01.09.0002
Cite this article:
LIU W, DING Y, ZHAO R, et al. Research on Optimal Asset Allocation Strategy of Pension Based on Cobb-Douglas and Epstein-Zin Recursive Utility Function. Journal of Xinjiang University(Natural Science Edition in Chinese and English), 2025, 42(1): 24-35,47. https://doi.org/10.13568/j.cnki.651094.651316.2024.01.09.0002
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