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

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