Optimal surplus, minimum pension benefits and consumption plans in a mean-variance portfolio approach for a defined contribution pension scheme

zbMATH Open1335.91068MaRDI QIDQ2801063FDOQ2801063

Authors: C. I. Nkeki 

Publication date: 19 April 2016

Published in: Konuralp Journal of Mathematics (Search for Journal in Brave)

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zbMATH Keywords

mean-varianceoptimal consumptionefficient frontierpension schemesurplusdefined contributionminimum pension benefitsstochastic funding

Mathematics Subject Classification ID

Portfolio theory (91G10) Stochastic models in economics (91B70) Optimal stochastic control (93E20)

Cited In (3)

• Mean-variance portfolio selection problem with time-dependent salary for defined contribution pension scheme
• Lifetime investment and consumption using a defined-contribution pension scheme
• Optimal investment in the presence of intangible assets and collateralized optimal debt ratio in jump-diffusion models

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