Equilibrium investment strategy for a defined contribution pension plan under stochastic interest rate and stochastic volatility
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Publication:2292015
DOI10.1016/j.cam.2019.112536zbMath1442.91082OpenAlexW2980043515WikidataQ127082243 ScholiaQ127082243MaRDI QIDQ2292015
Ling Zhang, Danping Li, Yongzeng Lai
Publication date: 31 January 2020
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2019.112536
stochastic optimizationstochastic interest ratemean-variance criterionHeston stochastic volatility modelequilibrium investment strategyDC pension plan
Related Items (10)
Computational analysis of the behavior of stochastic volatility models with financial applications ⋮ Survey on multi-period mean-variance portfolio selection model ⋮ Robust time-consistent strategy for the defined contribution pension plan with a minimum guarantee under ambiguity ⋮ Time-consistent investment strategy for a DC pension plan with hidden Markov regime switching ⋮ Robust optimal investment strategies for mean-variance asset-liability management under 4/2 stochastic volatility models ⋮ Equilibrium investment strategy for multi-period DC pension funds with stochastic interest rate and regime switching ⋮ Unnamed Item ⋮ Equilibrium investment strategy for a DC pension plan with learning about stock return predictability ⋮ Dynamic optimal mean-variance portfolio selection with stochastic volatility and stochastic interest rate ⋮ The investor problem based on the HJM model
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