Dynamic discrete-time portfolio selection for defined contribution pension funds with inflation risk
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Publication:2076455
DOI10.3934/jimo.2020166zbMath1499.91124OpenAlexW3102058144MaRDI QIDQ2076455
Miao Zhang, Xun Li, Ping Chen, Haixiang Yao
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.2020166
portfolio selectionefficient frontierdefined contribution pension fundmulti-period mean-variance formulationstochastic inflation rate
Related Items (4)
Asset allocation for a DC pension plan with learning about stock return predictability ⋮ Optimal portfolios for the DC pension fund with mispricing under the HARA utility framework ⋮ Optimal portfolio selection with life insurance under subjective survival belief and habit formation ⋮ Optimal assets allocation and benefit adjustment strategy with longevity risk for target benefit pension plans
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