Defined contribution pension planning with a stochastic interest rate and mean-reverting returns under the hyperbolic absolute risk aversion preference (Q5000452)
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scientific article; zbMATH DE number 7371179
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| English | Defined contribution pension planning with a stochastic interest rate and mean-reverting returns under the hyperbolic absolute risk aversion preference |
scientific article; zbMATH DE number 7371179 |
Statements
Defined contribution pension planning with a stochastic interest rate and mean-reverting returns under the hyperbolic absolute risk aversion preference (English)
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13 July 2021
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stochastic affine interest rate
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mean-reverting return
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Legendre transform-dual theory
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optimal portfolio
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