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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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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
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Hindawi Publishing Corporation
2014
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| 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 |