Robust time-consistent strategy for the defined contribution pension plan with a minimum guarantee under ambiguity

DOI10.1007/s40314-023-02482-9OpenAlexW4387639476MaRDI QIDQ6060710

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Publication date: 3 November 2023

Published in: Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s40314-023-02482-9

zbMATH Keywords

ambiguity aversiondefined contribution pension planminimum guaranteerobust optimal control theoryrobust time-consistent strategy

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)

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