Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility
Year of publication: |
March 2018
|
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Authors: | Zeng, Yan ; Li, Danping ; Chen, Zheng ; Yang, Zhou |
Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 88.2018, p. 70-103
|
Subject: | Robust portfolio choice | DC pension plan | Ambiguity | Derivative | Stochastic volatility | Stochastic salary | Portfolio-Management | Portfolio selection | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Entscheidung unter Unsicherheit | Decision under uncertainty | Pensionskasse | Pension fund | Risikoaversion | Risk aversion | Altersvorsorge | Retirement provision | Lohn | Wages | Derivat | Optionspreistheorie | Option pricing theory |
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