Robust optimal strategies of DC pension plans with stochastic volatility and stochastic income under mean-variance criteria
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Publication:2076400
DOI10.3934/jimo.2021025zbMath1499.91090OpenAlexW3134531946MaRDI QIDQ2076400
Publication date: 16 February 2022
Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/jimo.2021025
mean-variance modelstochastic incomeDC pension planHeston's stochastic volatility modelambiguity-averse member
Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Actuarial mathematics (91G05)
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