Optimal investment and benefit adjustment problem for a target benefit pension plan with Cobb-Douglas utility and Epstein-Zin recursive utility
Hui Zhao, Suxin Wang
| 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 | Pensionskasse | Pension fund | Dynamische Optimierung | Mathematische Optimierung | Mathematical programming |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2021.11.033 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013267832