Optimal portfolio for a defined-contribution pension plan under a constant elasticity of variance model with exponential utility (Q2027122): Difference between revisions

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scientific article

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English	Optimal portfolio for a defined-contribution pension plan under a constant elasticity of variance model with exponential utility	scientific article

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scholarly article

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title

Optimal portfolio for a defined-contribution pension plan under a constant elasticity of variance model with exponential utility (English)

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Frontiers of Mathematics in China

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publication date

25 May 2021

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zbMATH Keywords

Lie symmetry

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portfolio

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defined-contribution (DC) pension plan

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constant elasticity of variance (CEV) model

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exponential utility

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describes a project that uses

GeM

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1007/s11464-020-0870-9

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cites work

New exact solutions of Bratu Gelfand model in two dimensions using Lie symmetry analysis

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Invariant approach to optimal investment-consumption problem: the constant elasticity of variance (CEV) model

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Symmetries and differential equations

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Group classification of a generalized Black-Scholes-Merton equation

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Enhanced group analysis of a semi linear generalization of a general bond-pricing equation

0 references

GeM software package for computation of symmetries and conservation laws of differential equations

0 references

Symbolic computation of equivalence transformations and parameter reduction for nonlinear physical models

0 references

Optimal portfolios for DC pension plans under a CEV model

0 references

Optimal investment strategy for annuity contracts under the constant elasticity of variance (CEV) model

0 references

Lie symmetry analysis of differential equations in finance

0 references

New solutions to the bond-pricing equation via Lie's classical method

0 references

Exact and approximate solutions for options with time-dependent stochastic volatility

0 references

Explicit solutions to an optimal portfolio choice problem with stochastic income

0 references

When Nonlinear Differential Equations are Equivalent to Linear Differential Equations

0 references

Symmetry-based solution of a model for a combination of a risky investment and a riskless investment

0 references

Valuation of financial derivatives with time-dependent parameters: Lie-algebraic approach

0 references

Pricing multi-asset financial derivatives with time-dependent parameters -- Lie algebraic approach

0 references

Lie-algebraic approach for pricing moving barrier options with time-dependent parameters

0 references

Symbolic Computation of Lump Solutions to a Combined Equation Involving Three Types of Nonlinear Terms

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Symmetry Reductions of a Hamilton-Jacobi-Bellman Equation Arising in Financial Mathematics

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Q3715336

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Q3945260

0 references

Lie symmetry analysis, conservation laws and analytic solutions of the time fractional Kolmogorov-Petrovskii-Piskunov equation

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Q4328545

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An optimal system and group-invariant solutions of the Cox-Ingersoll-Ross pricing equation

0 references

Invariance properties of a general bond-pricing equation

0 references

Algebraic solution of the Stein-Stein model for stochastic volatility

0 references

Symmetry analysis of a model of stochastic volatility with time-dependent parameters

0 references

Financial Rogue Waves

0 references

Vector financial rogue waves

0 references

Lie symmetry analysis for a parabolic Monge-Ampère equation in the optimal investment theory

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Identifiers

zbMATH Open document ID

1480.91246

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DOI

10.1007/s11464-020-0870-9

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:2027122

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@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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+https://doi.org/10.1007/s11464-020-0870-9
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+W3104823853
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@@ Property / cites work @@
+New exact solutions of Bratu Gelfand model in two dimensions using Lie symmetry analysis
+Normal rank
@@ Property / cites work @@
+Invariant approach to optimal investment-consumption problem: the constant elasticity of variance (CEV) model
+Normal rank
@@ Property / cites work @@
+Symmetries and differential equations
@@ Property / cites work: Symmetries and differential equations / rank @@
+Normal rank
@@ Property / cites work @@
+Group classification of a generalized Black-Scholes-Merton equation
+Normal rank
@@ Property / cites work @@
+Enhanced group analysis of a semi linear generalization of a general bond-pricing equation
+Normal rank
@@ Property / cites work @@
+GeM software package for computation of symmetries and conservation laws of differential equations
+Normal rank
@@ Property / cites work @@
+Symbolic computation of equivalence transformations and parameter reduction for nonlinear physical models
+Normal rank
@@ Property / cites work @@
+Optimal portfolios for DC pension plans under a CEV model
+Normal rank
@@ Property / cites work @@
+Optimal investment strategy for annuity contracts under the constant elasticity of variance (CEV) model
+Normal rank
@@ Property / cites work @@
+Lie symmetry analysis of differential equations in finance
+Normal rank
@@ Property / cites work @@
+New solutions to the bond-pricing equation via Lie's classical method
+Normal rank
@@ Property / cites work @@
+Exact and approximate solutions for options with time-dependent stochastic volatility
+Normal rank
@@ Property / cites work @@
+Explicit solutions to an optimal portfolio choice problem with stochastic income
+Normal rank
@@ Property / cites work @@
+When Nonlinear Differential Equations are Equivalent to Linear Differential Equations
+Normal rank
@@ Property / cites work @@
+Symmetry-based solution of a model for a combination of a risky investment and a riskless investment
+Normal rank
@@ Property / cites work @@
+Valuation of financial derivatives with time-dependent parameters: Lie-algebraic approach
+Normal rank
@@ Property / cites work @@
+Pricing multi-asset financial derivatives with time-dependent parameters -- Lie algebraic approach
+Normal rank
@@ Property / cites work @@
+Lie-algebraic approach for pricing moving barrier options with time-dependent parameters
+Normal rank
@@ Property / cites work @@
+Symbolic Computation of Lump Solutions to a Combined Equation Involving Three Types of Nonlinear Terms
+Normal rank
@@ Property / cites work @@
+Symmetry Reductions of a Hamilton-Jacobi-Bellman Equation Arising in Financial Mathematics
+Normal rank
@@ Property / cites work @@
+Q3715336
@@ Property / cites work: Q3715336 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3945260
@@ Property / cites work: Q3945260 / rank @@
+Normal rank
@@ Property / cites work @@
+Lie symmetry analysis, conservation laws and analytic solutions of the time fractional Kolmogorov-Petrovskii-Piskunov equation
+Normal rank
@@ Property / cites work @@
+Q4328545
@@ Property / cites work: Q4328545 / rank @@
+Normal rank
@@ Property / cites work @@
+An optimal system and group-invariant solutions of the Cox-Ingersoll-Ross pricing equation
+Normal rank
@@ Property / cites work @@
+Invariance properties of a general bond-pricing equation
+Normal rank
@@ Property / cites work @@
+Algebraic solution of the Stein-Stein model for stochastic volatility
+Normal rank
@@ Property / cites work @@
+Symmetry analysis of a model of stochastic volatility with time-dependent parameters
+Normal rank
@@ Property / cites work @@
+Financial Rogue Waves
@@ Property / cites work: Financial Rogue Waves / rank @@
+Normal rank
@@ Property / cites work @@
+Vector financial rogue waves
@@ Property / cites work: Vector financial rogue waves / rank @@
+Normal rank
@@ Property / cites work @@
+Lie symmetry analysis for a parabolic Monge-Ampère equation in the optimal investment theory
+Normal rank