Optimal investment strategy for a DC pension plan with mispricing under the Heston model
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Publication:5077250
DOI10.1080/03610926.2019.1586938OpenAlexW2947349642WikidataQ128165575 ScholiaQ128165575MaRDI QIDQ5077250
Publication date: 18 May 2022
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2019.1586938
utility maximizationHeston modelmispricingHamilton-Jacobi-Bellman (HJB) equationpower utilitypension investment
Related Items (7)
Optimal reinsurance–investment policies for insurers with mispricing under mean-variance criterion ⋮ Optimal DC pension investment with square-root factor processes under stochastic income and inflation risks ⋮ An optimal portfolio problem of DC pension with input-delay and jump-diffusion process ⋮ Robust optimal investment strategy for a DC pension plan in the market with mispricing and constant elasticity of variance ⋮ Robust optimal asset-liability management with mispricing and stochastic factor market dynamics ⋮ Optimal portfolios for the DC pension fund with mispricing under the HARA utility framework ⋮ Optimal management of DC pension fund under the relative performance ratio and VaR constraint
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