Optimal management of DC pension plan in a stochastic interest rate and stochastic volatility framework (Q2513440)
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scientific article; zbMATH DE number 6391696
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| English | Optimal management of DC pension plan in a stochastic interest rate and stochastic volatility framework |
scientific article; zbMATH DE number 6391696 |
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Optimal management of DC pension plan in a stochastic interest rate and stochastic volatility framework (English)
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28 January 2015
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defined contribution pension plan
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CRRA utility
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stochastic dynamic programming
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stochastic interest rate
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stochastic volatility
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stochastic contribution rate
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minimum guarantee
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0.8909292817115784
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0.8736825585365295
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0.8691862225532532
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0.8684079051017761
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