Equilibrium investment strategy for a DC pension plan with derivative trading

DOI10.13471/J.CNKI.ACTA.SNUS.2020.09.16.2020A054zbMATH Open1488.91101MaRDI QIDQ3380744FDOQ3380744

Authors: Pei Wang, Zheng Chen, Ling Zhang 

Publication date: 29 September 2021

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zbMATH Keywords

stochastic volatilityderivativesequilibrium investment strategyDC pension plan

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Portfolio theory (91G10)

Cited In (2)

• EQUILIBRIUM WITH EXCESSIVE HOLDINGS CONSTRAINT: AN APPLICATION TO DC PENSION PLANS
• DYNAMIC HEDGING STRATEGIES FOR CASH BALANCE PENSION PLANS

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