Optimal investment strategy for the DC plan with the return of premiums clauses in a mean-variance framework
Year of publication: |
2013
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Authors: | He, Lin ; Liang, Zongxia |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 53.2013, 3, p. 643-649
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Subject: | DC pension plan | Markovian time inconsistent stochastic control | Mean-Variance stochastic control | Optimal asset allocation | Return of premiums clauses | Portfolio-Management | Portfolio selection | Stochastischer Prozess | Stochastic process | Kapitaleinkommen | Capital income | Kontrolltheorie | Control theory | Risikoprämie | Risk premium |
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