Stochastic optimal control of DC pension funds

DOI10.1016/j.insmatheco.2008.03.004zbMath1141.91439OpenAlexW2080032616MaRDI QIDQ931216

Jianwei Gao

Publication date: 25 June 2008

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2008.03.004

zbMATH Keywords

Hamilton-Jacobi-Bellman equationstochastic optimal controlLegendre transformoptimal investment strategydefined-contribution pension plans

Mathematics Subject Classification ID

Related Items (40)

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