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

zbMATH Open1299.91119MaRDI QIDQ5399565FDOQ5399565

Authors: Ailing Gu, Yan Zeng, Zhongfei Li 

Publication date: 28 February 2014

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zbMATH Keywords

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

Mathematics Subject Classification ID

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

Cited In (4)

• Optimal investment strategy for a DC pension plan with mispricing under the Heston model
• Optimal robust reinsurance-investment strategies for insurers with mean reversion and mispricing
• Optimal portfolios for DC pension plans under a CEV model
• Optimal investment strategy under a stochastic model for DC pension

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