Optimal time-consistent portfolio and contribution selection for defined benefit pension schemes under mean-variance criterion (Q2929387)
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scientific article; zbMATH DE number 6368752
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| English | Optimal time-consistent portfolio and contribution selection for defined benefit pension schemes under mean-variance criterion |
scientific article; zbMATH DE number 6368752 |
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12 November 2014
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time-consistent strategy
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stochastic mortality intensity process
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mean-variance criterion
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Hamilton-Jacobi-Bellman equation
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Optimal time-consistent portfolio and contribution selection for defined benefit pension schemes under mean-variance criterion (English)
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0.8543714880943298
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0.8510758280754089
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0.8306418061256409
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