DETERMINISTIC INVESTMENT STRATEGY IN A DC PENSION PLAN WITH INFLATION RISK UNDER MEAN-VARIANCE CRITERION

DOI10.1017/S026996482000025XzbMath1505.91338OpenAlexW3024633863MaRDI QIDQ5051165

Fenge Chen, Xing-Chun Peng

Publication date: 22 November 2022

Published in: Probability in the Engineering and Informational Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s026996482000025x

zbMATH Keywords

Malliavin calculusinflation riskDC pension plandeterministic investmentrandom parameter processes

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Actuarial mathematics (91G05)

Cites Work

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