Equilibrium investment strategy for DC pension plan with default risk and return of premiums clauses under CEV model
Danping Li, Ximin Rong, Hui Zhao, Bo Yi
| Year of publication: |
January 2017
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|---|---|
| Authors: | Li, Danping ; Rong, Ximin ; Zhao, Hui ; Yi, Bo |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 72.2017, p. 6-20
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| Subject: | DC pension plan | Default risk | Constant elasticity of variance (CEV) model | Mean-variance criterion | Time-consistency | Theorie | Theory | Portfolio-Management | Portfolio selection | Pensionskasse | Pension fund | Kreditrisiko | Credit risk | Betriebliche Altersversorgung | Occupational pension plan | Risikoprämie | Risk premium | CAPM | Kapitaleinkommen | Capital income |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2016.10.007 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011691490