Portfolio optimization in a defined benefit pension plan where the risky assets are processes with constant elasticity of variance
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Publication:1799638
DOI10.1016/j.insmatheco.2018.06.011zbMath1416.91192OpenAlexW2809926217MaRDI QIDQ1799638
Paula López-Casado, Juan Pablo Rincón-Zapatero, Ricardo Josa-Fombellida
Publication date: 19 October 2018
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: http://uvadoc.uva.es/handle/10324/41752
Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Portfolio theory (91G10)
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