Portfolio optimization in a defined benefit pension plan where the risky assets are processes with constant elasticity of variance
type: Item
instance of: scholarly article
title: Portfolio optimization in a defined benefit pension plan where the risky assets are processes with constant elasticity of variance
zbMATH Open document ID: 1416.91192
author: Ricardo Josa-Fombellida
author: Paula López-Casado
author: Juan Pablo Rincón-Zapatero
published in: Insurance Mathematics \& Economics
publication date: 2018-10-19T00:00:00Z
full work available at URL: http://uvadoc.uva.es/handle/10324/41752
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 49L20
zbMATH DE Number: 6958591
zbMATH Keywords: pension funding
zbMATH Keywords: dynamic programming
zbMATH Keywords: CEV process
zbMATH Keywords: risk management
zbMATH Keywords: optimal portfolio
MaRDI profile type: Publication
OpenAlex ID: W2809926217
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DOI: 10.1016/J.INSMATHECO.2018.06.011
description: scientific article; zbMATH DE number 6958591