Dynamic mean-variance problem for defined contribution pension fund under inflation

DOI10.1360/N012018-00045zbMath1499.91106OpenAlexW2920775871MaRDI QIDQ5064083

Xiaoyi Zhang, Jun-Yi Guo

Publication date: 21 March 2022

Published in: SCIENTIA SINICA Mathematica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1360/n012018-00045

zbMATH Keywords

stochastic optimal controlHJB equationPoisson processdefined contribution pension planmean-variance problem

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Actuarial mathematics (91G05)

Related Items (2)

Time-consistent investment strategy for a DC pension plan with hidden Markov regime switching ⋮ Unnamed Item

This page was built for publication: Dynamic mean-variance problem for defined contribution pension fund under inflation