Optimal investment and benefit adjustment problem for a target benefit pension plan with Cobb-Douglas utility and Epstein-Zin recursive utility
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Publication:2140305
DOI10.1016/j.ejor.2021.11.033zbMath1506.91161OpenAlexW3214735679MaRDI QIDQ2140305
Publication date: 20 May 2022
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2021.11.033
dynamic programmingoptimal investmentCobb-Douglas utilitystochastic differential utilitytarget benefit pension plan
Related Items (3)
Manage pension deficit with heterogeneous insurance ⋮ A defined benefit pension plan game with Brownian and Poisson jumps uncertainty ⋮ A cooperative bargaining framework for decentralized portfolio optimization
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