Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility

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

zbMATH Keywords

stochastic volatility; derivative; ambiguity; robust portfolio choice; stochastic salary; DC pension plan

Mathematics Subject Classification ID

91G10: Portfolio theory

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