Optimal investment for the defined-contribution pension with stochastic salary under a CEV model
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Publication:2437134
DOI10.1007/s11766-013-3087-9zbMath1299.91133MaRDI QIDQ2437134
Hui Zhao, Chu-bing Zhang, Xi-Min Rong, Rujing Hou
Publication date: 28 February 2014
Published in: Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11766-013-3087-9
optimal investment; defined contribution pension plan; constant elasticity of variance model; stochastic salary
60H30: Applications of stochastic analysis (to PDEs, etc.)
91G80: Financial applications of other theories
91G10: Portfolio theory