Optimal investment in defined contribution pension schemes with forward utility preferences
From MaRDI portal
Publication:6152716
DOI10.1016/j.insmatheco.2023.12.001arXiv2303.08462MaRDI QIDQ6152716
Kenneth Tsz Hin Ng, Wing Fung Chong
Publication date: 13 February 2024
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2303.08462
defined contribution pension schemeoptimal investmentforward utility preferencesexogenous baseline strategypre-commitment resolution
Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Individual preferences (91B08) Actuarial mathematics (91G05)
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