Optimal investment strategy for occupational pension based on exponential utility function

DOI10.3969/J.ISSN.0253-374X.2010.07.028zbMATH Open1240.91093MaRDI QIDQ3014489FDOQ3014489

Authors: Maoran Zhu, Lei Guo, Taoyong Su 

Publication date: 19 July 2011

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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)

Cited In (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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