中山大學(xué)曾燕老師作了一場(chǎng)題為“Optimal investment strategy for a loss aversion DC pension plan member with inflation risk and minimum performance constraint(對(duì)于通脹風(fēng)險(xiǎn)和最低性能約束的損失厭惡DC養(yǎng)老金計(jì)劃成員最優(yōu)投資策略)”的講座，在職研究生講座的主要內(nèi)容是：

　　本文研究與損失厭惡成員的最低性能約束的固定繳款養(yǎng)老金計(jì)劃的最優(yōu)投資問(wèn)題。所述構(gòu)件被假定為具有隨機(jī)薪水流量和通貨膨脹風(fēng)險(xiǎn)對(duì)質(zhì)，旨在從終端財(cái)富超過(guò)所需的最小性能通過(guò)在由索引鍵的金融市場(chǎng)投資的財(cái)富以最大化預(yù)期S形工具，股票和無(wú)風(fēng)險(xiǎn)資產(chǎn)。最優(yōu)投資策略的顯式表達(dá)式使用鞅方法得出。此外，一些數(shù)值插圖呈現(xiàn)，顯示對(duì)最優(yōu)投資策略參數(shù)的影響。我們的理論和數(shù)值結(jié)果表明許多有趣的現(xiàn)象，如參考點(diǎn)在她的資產(chǎn)分配和增加中起重要作用。

　　原文：This paper studies an optimal investment problem of a defined-contribution pension plan with a minimum performance constraint for a loss-averse member. The member is assumed to have a stochastic salary flow and be confronted with inflation risk, and aims to maximize the expected S-shaped utility from the terminal wealth over the required minimum performance by investing the wealth in a financial market consisting of an indexed bond, a stock and a risk-free asset. The explicit expression of optimal investment strategy is derived using the martingale approach. In addition, some numerical illustrations are presented to show the effects of parameters on the optimal investment strategy. Our theoretical and numerical results show many interesting phenomena, such as the reference point plays an important role in her asset allocation and increasing of longevity risk leads her to invest more in the risky assets.