A stochastic Nash equilibrium portfolio game between two DC pension funds

DOI10.1016/J.INSMATHECO.2016.06.015zbMath1371.91156OpenAlexW2465534706MaRDI QIDQ2520451

Zongxia Liang, Guohui Guan

Publication date: 13 December 2016

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2016.06.015

zbMATH Keywords

Nash equilibriumdynamic programming methoddefined contribution pension planinflation riskstochastic portfolio game

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stochastic games, stochastic differential games (91A15) Portfolio theory (91G10)

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Cites Work

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