Optimal investment for the defined-contribution pension with stochastic salary under a CEV model
DOI10.1007/S11766-013-3087-9zbMATH Open1299.91133OpenAlexW2000640663MaRDI QIDQ2437134FDOQ2437134
Authors: Ximin Rong, Hui Zhao, Rujing Hou, Chu-bing Zhang 
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
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defined contribution pension planoptimal investmentconstant elasticity of variance modelstochastic salary
Portfolio theory (91G10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80)
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- THE BLACK-SCHOLES EQUATION REVISITED: ASYMPTOTIC EXPANSIONS AND SINGULAR PERTURBATIONS
- On ``optimal pension management in a stochastic framework with exponential utility
Cited In (15)
- Optimal investment and benefit adjustment problem for a target benefit pension plan with Cobb-Douglas utility and Epstein-Zin recursive utility
- Optimal Defined Contribution Pension Management with Salary and Risky Assets Following Jump Diffusion Processes
- Title not available (Why is that?)
- Mean-variance target-based optimisation for defined contribution pension schemes in a stochastic framework
- Optimal portfolios for DC pension plans under a CEV model
- Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility
- Time-consistent investment strategy for DC pension plan with stochastic salary under CEV model
- Optimal investment strategies for DC pension with stochastic salary under the affine interest rate model
- Defined contribution pension planning with the return of premiums clauses and HARA preference in stochastic environments
- The optimal rate of return for defined contribution pension systems in a stochastic framework
- Optimal portfolios for the DC pension fund with mispricing under the HARA utility framework
- Optimal investment with S-shaped utility and trading and value at risk constraints: an application to defined contribution pension plan
- Optimal pension fund management under risk and uncertainty: the case study of Poland
- Optimal investment, consumption, and work effort strategies with stochastic salary under the HLSV model
- Optimal investment for a defined contribution pension plan under a Heston model
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