Robust equilibrium control-measure policy for a DC pension plan with state-dependent risk aversion under mean-variance criterion
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Publication:1983681
DOI10.3934/jimo.2020018zbMath1476.90163OpenAlexW3000435172MaRDI QIDQ1983681
Peng Yang, Zhiping Chen, Li-Yuan Wang
Publication date: 10 September 2021
Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/jimo.2020018
DC pension planstate-dependent risk aversionextended HJBI equationrobust equilibrium control-measure policy
Noncooperative games (91A10) Management decision making, including multiple objectives (90B50) Optimal stochastic control (93E20) Financial applications of other theories (91G80)
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