Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility
From MaRDI portal
Publication:1657206
DOI10.1016/j.jedc.2018.01.023zbMath1401.91212MaRDI QIDQ1657206
Danping Li, Yan Zeng, Zhou Yang, Zheng Chen
Publication date: 13 August 2018
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10012/13046
stochastic volatility; derivative; ambiguity; robust portfolio choice; stochastic salary; DC pension plan
91G10: Portfolio theory
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