Mean-variance efficiency of DC pension plan under stochastic interest rate and mean-reverting returns
Year of publication: |
2015
|
---|---|
Authors: | Guan, Guohui ; Liang, Zongxia |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 61.2015, p. 99-109
|
Subject: | Defined contribution pension plan | Stochastic interest rate | Mean-reverting returns | Stochastic market price of risk | Mean-variance efficiency | Stochastic dynamic programming | Stochastischer Prozess | Stochastic process | Portfolio-Management | Portfolio selection | Theorie | Theory | Zins | Interest rate | Pensionskasse | Pension fund | Kapitaleinkommen | Capital income | Altersvorsorge | Retirement provision |
-
Guan, Guohui, (2014)
-
Optimal management of DC pension plan under loss aversion and Value-at-Risk constraints
Guan, Guohui, (2016)
-
Tang, Mei-Ling, (2018)
- More ...
-
Optimal reinsurance and investment strategies for insurer under interest rate and inflation risks
Guan, Guohui, (2014)
-
Optimal management of DC pension plan under loss aversion and Value-at-Risk constraints
Guan, Guohui, (2016)
-
Guan, Guohui, (2014)
- More ...