Mean-variance efficiency of DC pension plan under stochastic interest rate and mean-reverting returns

DOI10.1016/j.insmatheco.2014.12.006zbMath1318.91115OpenAlexW1979933030MaRDI QIDQ2347101

Zongxia Liang, Guohui Guan

Publication date: 26 May 2015

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2014.12.006

zbMATH Keywords

stochastic dynamic programmingstochastic interest ratedefined contribution pension planstochastic market price of riskmean-variance efficiencymean-reverting returns

Mathematics Subject Classification ID

Related Items (33)

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