Optimal investment and benefit adjustment problem for a target benefit pension plan with Cobb-Douglas utility and Epstein-Zin recursive utility
Year of publication: |
2022
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Authors: | Zhao, Hui ; Wang, Suxin |
Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 301.2022, 3 (16.9.), p. 1166-1180
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Subject: | Dynamic programming | Target benefit pension plan | Cobb-Douglas utility | Optimal investment | Stochastic differential utility | Theorie | Theory | Nutzen | Utility | Portfolio-Management | Portfolio selection | Nutzenfunktion | Utility function | Betriebliche Altersversorgung | Occupational pension plan |
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