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1、ABSTRACTLife-Cyclehypothesiswasbringforthin1963byModigliani.Afteryearsofdevelopment,life-cycleinvestmenttheoryhasbecometheimportantconnectionbetweenmodernportfoliotheoryandpensionfundsinvestment,andlife-cycleinvestmentproductshasalsobecomeanimportantbridgelinkingthepensionfundsandcapitalmarkets.Asth
2、etheagingofU.S.populationincreasingandpensionplanchangingfromDBplantoDCplanin1990s,life-cyclefundsemergedanddevelopedquickly,assetsundermanagementinU.S.reached$205billionatthefirsthalfof2008.Inchina,althoughtherapidgrowthofthepensionscaleandfinancialproductsemerging,butsocialsecurityassetslikeannuit
3、yandpersonalpensionaccounthavealotrestrictionsoninvestment,availableproductsarealsolaggingbehind,especiallytheheterogeneouscharacteristicsofpensionbeneficiarieshasnotbeenreflected.Therehaveonlythreelife-cyclefundsinChinacapitalmarket,ithasconsiderableroomfordevelopment.Thispaperstudiestheoptimalasse
4、tallocationforthelife-cyclefundsinvestors,andtheoptimalstochasticdynamicassetallocationpathproblemoflife-cyclemodel,analysestheadvantagesoflife-cycleinvestmentforthepensioninvestorswithdifferentriskcharacteristics,age,incomelevels.Boththeoreticalandpracticalperspectivesofthelife-cycleinvestmenttheor
5、yareappliedtodiscussthefeasibilityandeffectivewayofpensioninvestment.Themaincontentsareasfollows:Firstly,wedescribethegeneralprinciplesofassetallocationtheory,andintroducethedevelopmentoflife-cycleinvestmenttheory,analyzethebasictheoryoflife-cyclemodelandhumancapital.Secondly,wediscusstheprerequisit
6、esandkeyassumptionsoflife-cyclemodel,andtheprimarymethodscalarzingthemodel—finitedifferencemethodtomeettheinvestor’slife-cycleutilitymaximizationunderdynamicoptimizationselectionbetweenconsumptionandinvestmentduringlifetime.-5-Then,wedeterminethevaluesofeachparameter,andprogramwithMATLAB.Afterthatwe
7、gettheconclusionsunderthestandardsituationandexpandtheassumptionslikelaborincomegrowthandbequesttogetcorrespondingresults.Afterthat,weapplytheseresultstoactualsituation,discussassetallocationoflife-cy
