摘要翻译：
在本文中，我们解决了最大化未来消费和最终财富的期望效用的问题，以确定一群养老基金投资者的最优养老金或生命周期基金策略。该设置与DC养老金计划密切相关，其中额外（个人）消费被考虑在内。消费率受制于一个时变的最小水平，而最终财富受制于一个最终下限。此外，消费和最终财富之间的偏好以及风险厌恶的跨期系数是时变的，因此取决于所考虑的养老金群体的年龄。在Black-Scholes金融市场框架和双曲绝对风险厌恶(HARA)效用函数的情况下，计算了最优消费和投资政策。我们通过增加与年龄相关的风险厌恶系数来推广Ye(2008)(2008American Control Conference,356-362）；通过将消费与最终财富结合起来考虑，并通过应用HARA效用函数考虑消费和最终财富下限，扩展了Steffensen(2011)(Journal of Economic Dynamics and Control,35(5)，659-667)、Hentschel(2016)（Ulm University博士论文）和Aase(2017)(Stochastics，89(1)，115-141)。一个对几个模型拟合实际的、时间相关的生命周期消费和相关投资剖面的案例研究表明，只有我们的具有时变偏好参数的扩展模型为充分的拟合提供了足够的灵活性。这对于（私人）养恤金投资或一般养恤金保险的生命周期产品特别有意义。
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英文标题：
《Optimal life-cycle consumption and investment decisions under
  age-dependent risk preferences》
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作者：
Andreas Lichtenstern, Pavel V. Shevchenko and Rudi Zagst
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最新提交年份：
2019
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Mathematical Finance        数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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一级分类：Economics        经济学
二级分类：Theoretical Economics        理论经济学
分类描述：Includes theoretical contributions to Contract Theory, Decision Theory, Game Theory, General Equilibrium, Growth, Learning and Evolution, Macroeconomics, Market and Mechanism Design, and Social Choice.
包括对契约理论、决策理论、博弈论、一般均衡、增长、学习与进化、宏观经济学、市场与机制设计、社会选择的理论贡献。
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一级分类：Mathematics        数学
二级分类：Optimization and Control        优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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一级分类：Quantitative Finance        数量金融学
二级分类：Portfolio Management        项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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英文摘要：
  In this article we solve the problem of maximizing the expected utility of future consumption and terminal wealth to determine the optimal pension or life-cycle fund strategy for a cohort of pension fund investors. The setup is strongly related to a DC pension plan where additionally (individual) consumption is taken into account. The consumption rate is subject to a time-varying minimum level and terminal wealth is subject to a terminal floor. Moreover, the preference between consumption and terminal wealth as well as the intertemporal coefficient of risk aversion are time-varying and therefore depend on the age of the considered pension cohort. The optimal consumption and investment policies are calculated in the case of a Black-Scholes financial market framework and hyperbolic absolute risk aversion (HARA) utility functions. We generalize Ye (2008) (2008 American Control Conference, 356-362) by adding an age-dependent coefficient of risk aversion and extend Steffensen (2011) (Journal of Economic Dynamics and Control, 35(5), 659-667), Hentschel (2016) (Doctoral dissertation, Ulm University) and Aase (2017) (Stochastics, 89(1), 115-141) by considering consumption in combination with terminal wealth and allowing for consumption and terminal wealth floors via an application of HARA utility functions. A case study on fitting several models to realistic, time-dependent life-cycle consumption and relative investment profiles shows that only our extended model with time-varying preference parameters provides sufficient flexibility for an adequate fit. This is of particular interest to life-cycle products for (private) pension investments or pension insurance in general.
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PDF链接：
https://arxiv.org/pdf/1908.09976