Optimal portfolio for a defined-contribution pension plan under a constant elasticity of variance model with exponential utility
type: Item
instance of: scholarly article
title: Optimal portfolio for a defined-contribution pension plan under a constant elasticity of variance model with exponential utility
zbMATH Open document ID: 1480.91246
author: Xiaoqian Sun
author: Jianwei Gao
author: Xue-Lin Yong
published in: Frontiers of Mathematics in China
publication date: 2021-05-25T00:00:00Z
Mathematics Subject Classification ID: 91G05
Mathematics Subject Classification ID: 91G10
zbMATH DE Number: 7350723
zbMATH Keywords: Lie symmetry
zbMATH Keywords: portfolio
zbMATH Keywords: defined-contribution (DC) pension plan
zbMATH Keywords: constant elasticity of variance (CEV) model
zbMATH Keywords: exponential utility
describes a project that uses: GeM
Wikidata QID: Q115602152
MaRDI profile type: Publication
full work available at URL: s11464-020-0870-9
OpenAlex ID: W3104823853
cites work: New exact solutions of Bratu Gelfand model in two dimensions using Lie symmetry analysis
cites work: Invariant approach to optimal investment-consumption problem: the constant elasticity of variance (CEV) model
cites work: Symmetries and differential equations
cites work: Group classification of a generalized Black-Scholes-Merton equation
cites work: Enhanced group analysis of a semi linear generalization of a general bond-pricing equation
cites work: GeM software package for computation of symmetries and conservation laws of differential equations
cites work: Symbolic computation of equivalence transformations and parameter reduction for nonlinear physical models
cites work: Optimal portfolios for DC pension plans under a CEV model
cites work: Optimal investment strategy for annuity contracts under the constant elasticity of variance (CEV) model
cites work: Lie symmetry analysis of differential equations in finance
cites work: New solutions to the bond-pricing equation via Lie's classical method
cites work: Exact and approximate solutions for options with time-dependent stochastic volatility
cites work: Explicit solutions to an optimal portfolio choice problem with stochastic income
cites work: When Nonlinear Differential Equations are Equivalent to Linear Differential Equations
cites work: Symmetry-based solution of a model for a combination of a risky investment and a riskless investment
cites work: Valuation of financial derivatives with time-dependent parameters: Lie-algebraic approach
cites work: Pricing multi-asset financial derivatives with time-dependent parameters -- Lie algebraic approach
cites work: Lie-algebraic approach for pricing moving barrier options with time-dependent parameters
cites work: Symbolic Computation of Lump Solutions to a Combined Equation Involving Three Types of Nonlinear Terms
cites work: Symmetry Reductions of a Hamilton-Jacobi-Bellman Equation Arising in Financial Mathematics
cites work: Q3715336
cites work: Q3945260
cites work: Lie symmetry analysis, conservation laws and analytic solutions of the time fractional Kolmogorov-Petrovskii-Piskunov equation
cites work: Q4328545
cites work: An optimal system and group-invariant solutions of the Cox-Ingersoll-Ross pricing equation
cites work: Invariance properties of a general bond-pricing equation
cites work: Algebraic solution of the Stein-Stein model for stochastic volatility
cites work: Symmetry analysis of a model of stochastic volatility with time-dependent parameters
cites work: Financial Rogue Waves
cites work: Vector financial rogue waves
cites work: Lie symmetry analysis for a parabolic Monge-Ampère equation in the optimal investment theory
DOI: 10.1007/S11464-020-0870-9
description: scientific article; zbMATH DE number 7350723