Multi-period portfolio optimization in a defined contribution pension plan during the decumulation phase
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Publication:2423292
DOI10.3934/jimo.2018059zbMath1415.91267OpenAlexW2799364507MaRDI QIDQ2423292
Chuangwei Lin, Li Zeng, Huiling Wu
Publication date: 21 June 2019
Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/jimo.2018059
decumulation phasequadratic loss functiondefined-contribution pension schemeincome drawdown optionportfolio selection optimization
Applications of mathematical programming (90C90) Financial applications of other theories (91G80) Portfolio theory (91G10)
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