Optimal investment management for a defined contribution pension fund under imperfect information
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Publication:1742723
DOI10.1016/j.insmatheco.2018.01.007zbMath1401.91214OpenAlexW2791749994MaRDI QIDQ1742723
Ling Zhang, Haixiang Yao, Hao Zhang
Publication date: 12 April 2018
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2018.01.007
hidden Markov modelsufficient statisticsimperfect informationstochastic salarydefined contribution pension fund
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Related Items (11)
Asset allocation for a DC pension plan with learning about stock return predictability ⋮ Time-consistent investment strategies for a DC pension member with stochastic interest rate and stochastic income ⋮ Survey on multi-period mean-variance portfolio selection model ⋮ Time-consistent investment strategy for a DC pension plan with hidden Markov regime switching ⋮ Equilibrium investment strategy for multi-period DC pension funds with stochastic interest rate and regime switching ⋮ Unnamed Item ⋮ Time-consistent strategy for a multi-period mean-variance asset-liability management problem with stochastic interest rate ⋮ Equilibrium investment strategy for a defined contribution pension plan under stochastic interest rate and stochastic volatility ⋮ Optimal portfolio selection for a defined-contribution plan under two administrative fees and return of premium clauses ⋮ Dynamic discrete-time portfolio selection for defined contribution pension funds with inflation risk ⋮ CONTINUOUS-TIME MEAN–VARIANCE OPTIMIZATION FOR DEFINED CONTRIBUTION PENSION FUNDS WITH REGIME-SWITCHING
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