An optimal investment strategy under Ornstein-Uhlenbeck model for a DC pension plan

MaRDI QIDQ5399565zbMATH OpenFDO

Authors Ailing Gu, Yan Zeng, Zhongfei Li

Publication date 28 February 2014

zbMATH Keywords

Ornstein-Uhlenbeck processHamilton-Jacobi-Bellman equationdefined contribution pension planoptimal investment strategy

Mathematics Subject Classification ID

Portfolio theory (91G10) Optimal stochastic control (93E20)

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• Optimal portfolios for DC pension plans under a CEV model
• Optimal investment strategy under a stochastic model for DC pension

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