Mean-Variance Portfolio Selection for Defined-Contribution Pension Funds with Stochastic Salary

This paper focuses on a continuous-time dynamic mean-variance portfolio selection problem of defined-contribution pension funds with stochastic salary, whose risk comes from both financial market and nonfinancial market. By constructing a special Riccati equation as a continuous (actually a viscosit...

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Detalles Bibliográficos
Autor principal: Zhang, Chubing
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Hindawi Publishing Corporation 2014
Materias:
Research Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC3981111/
https://www.ncbi.nlm.nih.gov/pubmed/24782667
http://dx.doi.org/10.1155/2014/826125
Descripción
Sumario:This paper focuses on a continuous-time dynamic mean-variance portfolio selection problem of defined-contribution pension funds with stochastic salary, whose risk comes from both financial market and nonfinancial market. By constructing a special Riccati equation as a continuous (actually a viscosity) solution to the HJB equation, we obtain an explicit closed form solution for the optimal investment portfolio as well as the efficient frontier.

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