Mean-variance target-based optimisation for defined contribution pension schemes in a stochastic framework

DOI10.1016/j.insmatheco.2017.08.002zbMath1396.91307OpenAlexW2745990910MaRDI QIDQ2404556

Elena Vigna, Francesco Menoncin

Publication date: 19 September 2017

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2017.08.002

zbMATH Keywords

stochastic optimal controlruin probabilitydefined contribution pension schemeefficient frontiermean-variance approachmartingale method

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Portfolio theory (91G10)

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