%0 Journal Article
%T A Constant Elasticity of Variance (CEV) Model and Legendre Transform-Dual Solution for Defined Benefit Pension Funds Management<br>养老基金管理的常方差弹性模型及Legendre 变换2对偶解法
%A XIAO Jian-wu
%A QIN Cheng-lin
%A <br>肖建武
%A 秦成林
%J 系统工程理论与实践
%D 2005
%I 
%X This paper presents a constant elasticity of variance model for defined pension funds management,obtains the non-linear Hamilton-Jacobi-Bellman partial differential equation,and reduces to a linear partial differential equation and the dual problems with the Legendre transform.We give the analytic solutions of the primal optimal problem by studying the dual problem.So we can find an optimal asset allocation-between a risky asset and a riskless asset-and the least contribution policy.
%K constant elasticity of variance
%K Hamilton-Jacobi-Bellman equation
%K Legendre transform
%K duality
%K defined benefit pension funs<br>常方差弹性(CEV)
%K Hamilton-Jacobi-Bellman方程
%K Legendre变换
%K 对偶
%K 待遇预定制养老基金
%U http://www.alljournals.cn/get_abstract_url.aspx?pcid=01BA20E8BA813E1908F3698710BBFEFEE816345F465FEBA5&cid=962324E222C1AC1D&jid=1D057D9E7CAD6BEE9FA97306E08E48D3&aid=B2F54582E6A0BA60&yid=2DD7160C83D0ACED&vid=C5154311167311FE&iid=9CF7A0430CBB2DFD&sid=2A3781E88AB1776F&eid=8E6AB9C3EBAAE921&journal_id=1000-6788&journal_name=系统工程理论与实践&referenced_num=4&reference_num=15