A stochastic Nash equilibrium portfolio game between two DC pension funds
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Publication:2520451
DOI10.1016/j.insmatheco.2016.06.015zbMath1371.91156OpenAlexW2465534706MaRDI QIDQ2520451
Publication date: 13 December 2016
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2016.06.015
Nash equilibriumdynamic programming methoddefined contribution pension planinflation riskstochastic portfolio game
Optimal stochastic control (93E20) Stochastic games, stochastic differential games (91A15) Portfolio theory (91G10)
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