Dynamic mean-variance problem for defined contribution pension fund under inflation

DOI10.1360/N012018-00045zbMATH Open1499.91106OpenAlexW2920775871MaRDI QIDQ5064083FDOQ5064083

Junyi Guo, Xiaoyi Zhang

Publication date: 21 March 2022

Published in: SCIENTIA SINICA Mathematica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1360/n012018-00045

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zbMATH Keywords

Poisson processHJB equationstochastic optimal controldefined contribution pension planmean-variance problem

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Optimal stochastic control (93E20)

Cited In (4)

• Time-consistent investment strategy for a DC pension plan with hidden Markov regime switching
• Portfolio choice with illiquid asset for a loss-averse pension fund investor
• Optimal investment for a pension fund under inflation risk
• Title not available (Why is that?)

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