Optimal pension investment problem with stochastic salary

DOI10.15960/J.CNKI.ISSN.1007-6093.2016.01.002zbMATH Open1363.91097MaRDI QIDQ2825057

Peng Yang

Publication date: 6 October 2016

Published in: Operations Research Transactions (Search for Journal in Brave)

zbMATH Keywords

investmentlinear-quadratic controlstochastic differential gamesmean-variance criterionexponential utility

Mathematics Subject Classification ID

Applications of game theory (91A80) Stochastic games, stochastic differential games (91A15) Portfolio theory (91G10)

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