Time-consistent investment strategy for DC pension plan with stochastic salary under CEV model
From MaRDI portal
Publication:328079
DOI10.1007/s11424-016-3171-3zbMath1414.91213MaRDI QIDQ328079
Hui Zhao, Danping Li, Xi-Min Rong
Publication date: 20 October 2016
Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11424-016-3171-3
mean-variance criterion; defined contribution pension plan; constant elasticity of variance model; stochastic salary; time-consistency investment strategy