OPTIMAL TIME-CONSISTENT PORTFOLIO AND CONTRIBUTION SELECTION FOR DEFINED BENEFIT PENSION SCHEMES UNDER MEAN–VARIANCE CRITERION
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Publication:2929387
DOI10.1017/S1446181114000212zbMath1302.93243MaRDI QIDQ2929387
Xiaoqing Liang, Lihua Bai, Jun-Yi Guo
Publication date: 12 November 2014
Published in: The ANZIAM Journal (Search for Journal in Brave)
Hamilton-Jacobi-Bellman equationmean-variance criteriontime-consistent strategystochastic mortality intensity process
Related Items (6)
Precommitment and equilibrium investment strategies for defined contribution pension plans under a jump-diffusion model ⋮ Optimal DC pension management under inflation risk with jump diffusion price index and cost of living process ⋮ Time consistent pension funding in a defined benefit pension plan with non-constant discounting ⋮ PRACTICAL INVESTMENT CONSEQUENCES OF THE SCALARIZATION PARAMETER FORMULATION IN DYNAMIC MEAN–VARIANCE PORTFOLIO OPTIMIZATION ⋮ Equilibrium investment strategy for DC pension plan with inflation and stochastic income under Heston's SV model ⋮ On the Distribution of Terminal Wealth under Dynamic Mean-Variance Optimal Investment Strategies
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