A Survey of Models and Algorithms of Numerical Methods Based on Pension Target Funds

doi:10.11871/jfdc.issn.2096-742X.2023.01.008

Abstract

Abstract:

[Objective] sion target funds belong to the third pillar of the pension system, and the related study has become an important research topic in the field of computational finance. [Coverage] This paper systematically collects relevant literature on models and algorithms in the researches of pension target funds. [Methods] This paper introduces and analyzes the advantages and disadvantages of several classic models of pension target funds, discusses the application of high-performance computing in implementing the models and algorithms, and points out the trend of research on pension target funds. [Limitations] Since the first group of pension target funds was approved in China in 2018, the related research has been booming. But there are still few domestic studies. [Conclusions] With the increasing complexity of models and scenarios, the application of high-performance computing in pension target funds has broad prospects.

Key words: pension target funds, glide path, high-performance computing

YANG Xueying, LI Chen, CHEN Yidong, LU Zhonghua. A Survey of Models and Algorithms of Numerical Methods Based on Pension Target Funds[J]. Frontiers of Data and Computing, 2023, 5(1): 85-96, https://cstr.cn/32002.14.jfdc.CN10-1649/TP.2023.01.008.

Figures/Tables 3

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	目标风险基金	目标日期基金
定义	根据投资者风险承受能力进行资产配置的基金	根据投资者不同目标日期进行资产配置的基金
调仓	定期对投资组合再平衡	随目标日期临近调整风险资产比例
投资理念	风险水平不变	风险水平随年龄增长变化
投资者要求	需要主动决策	无需主动决策

	Cocco（2005）	Campbell和 Viciera(2002)
收入与股市相关系数	0	高中学历0.37，大学学历0.51
房价收入相关性	0.6	/
个人收入冲击	0.14	高中学历0.03，大学学历0.04
房价波动标准差	0.06	/
住房消费偏好系数	0.1	/
风险回避系数	5	5