Optimal dynamic asset allocation strategy for ELA scheme of DC pension plan during the distribution phase

DOI10.1016/j.insmatheco.2013.02.005zbMath1284.91521OpenAlexW2014796535MaRDI QIDQ2442543

Zongxia Liang, Lin He

Publication date: 3 April 2014

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2013.02.005

zbMATH Keywords

stochastic dynamic programmingHJB equationsdefined contribution pension planoptimal dynamic asset allocationequity-linked annuity scheme

Mathematics Subject Classification ID

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

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