Portfolio optimization for pension plans under hybrid stochastic and local volatility.
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Publication:2343843
DOI10.1007/s10492-015-0091-9zbMath1363.90269OpenAlexW2081488439MaRDI QIDQ2343843
Jeong-Hoon Kim, Sung-Jin Yang, Min-Ku Lee
Publication date: 6 May 2015
Published in: Applications of Mathematics (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10338.dmlcz/144171
stochastic volatilityasymptotic analysisportfolio optimizationconstant elasticity of variancepension plan
Applications of mathematical programming (90C90) Approximation methods and heuristics in mathematical programming (90C59) Dynamic programming (90C39) Portfolio theory (91G10)
Related Items
Unnamed Item ⋮ Portfolio optimization in a defined benefit pension plan where the risky assets are processes with constant elasticity of variance
Cites Work
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