Optimal investment strategy for occupational pension based on exponential utility function

DOI10.3969/J.ISSN.0253-374X.2010.07.028MaRDI QIDQ3014489zbMATH OpenFDO

Authors Maoran Zhu, Lei Guo, Taoyong Su

Publication date 19 July 2011

zbMATH Keywords

exponential utility functioninvestment strategyoccupational pension

Mathematics Subject Classification ID

Nonlinear programming (90C30) Portfolio theory (91G10) Stochastic programming (90C15) Actuarial science and mathematical finance (91G99)

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(5)

• Optimal investment in defined contribution pension schemes with forward utility preferences
• Target preference and optimal investment decision for occupational pension schemes
• Optimal investment for executive stockholders with exponential utility
• On ``optimal pension management in a stochastic framework with exponential utility
• Personal optimal investment strategy for occupational pension based on CRRA utility function

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