Robust optimal investment strategy for an AAM of DC pension plans with stochastic interest rate and stochastic volatility

DOI10.1016/J.INSMATHECO.2018.03.003zbMath1402.91217OpenAlexW2790861401MaRDI QIDQ1641143

Pei Wang, Zhong-Fei Li

Publication date: 15 June 2018

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2018.03.003

zbMATH Keywords

stochastic volatilitystochastic interest rateDC pension planAAMrobust investment strategy

Mathematics Subject Classification ID

Stochastic programming (90C15) Dynamic programming (90C39) Interest rates, asset pricing, etc. (stochastic models) (91G30) Portfolio theory (91G10)

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