OPTIMAL TIME-CONSISTENT PORTFOLIO AND CONTRIBUTION SELECTION FOR DEFINED BENEFIT PENSION SCHEMES UNDER MEAN–VARIANCE CRITERION
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Publication:2929387
DOI10.1017/S1446181114000212zbMath1302.93243MaRDI QIDQ2929387
Xiaoqing Liang, Lihua Bai, Jun-Yi Guo
Publication date: 12 November 2014
Published in: The ANZIAM Journal (Search for Journal in Brave)
Hamilton-Jacobi-Bellman equation; mean-variance criterion; time-consistent strategy; stochastic mortality intensity process
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