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
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author Zhang, Chubing
author_facet Zhang, Chubing
author_sort Zhang, Chubing
collection PubMed
description 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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spelling pubmed-39811112014-04-29 Mean-Variance Portfolio Selection for Defined-Contribution Pension Funds with Stochastic Salary Zhang, Chubing ScientificWorldJournal Research Article 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. Hindawi Publishing Corporation 2014-03-20 /pmc/articles/PMC3981111/ /pubmed/24782667 http://dx.doi.org/10.1155/2014/826125 Text en Copyright © 2014 Chubing Zhang. https://creativecommons.org/licenses/by/3.0/This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
spellingShingle Research Article
Zhang, Chubing
Mean-Variance Portfolio Selection for Defined-Contribution Pension Funds with Stochastic Salary
title Mean-Variance Portfolio Selection for Defined-Contribution Pension Funds with Stochastic Salary
title_full Mean-Variance Portfolio Selection for Defined-Contribution Pension Funds with Stochastic Salary
title_fullStr Mean-Variance Portfolio Selection for Defined-Contribution Pension Funds with Stochastic Salary
title_full_unstemmed Mean-Variance Portfolio Selection for Defined-Contribution Pension Funds with Stochastic Salary
title_short Mean-Variance Portfolio Selection for Defined-Contribution Pension Funds with Stochastic Salary
title_sort mean-variance portfolio selection for defined-contribution pension funds with stochastic salary
topic Research Article
url 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
work_keys_str_mv AT zhangchubing meanvarianceportfolioselectionfordefinedcontributionpensionfundswithstochasticsalary

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