Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility
Yan Zeng, Danping Li, Zheng Chen, Zhou Yang
| Year of publication: |
March 2018
|
|---|---|
| Authors: | Zeng, Yan ; Li, Danping ; Chen, Zheng ; Yang, Zhou |
| Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 88.2018, p. 70-103
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| Subject: | Robust portfolio choice | DC pension plan | Ambiguity | Derivative | Stochastic volatility | Stochastic salary | Portfolio-Management | Portfolio selection | Volatilität | Volatility | Theorie | Theory | Stochastischer Prozess | Stochastic process | Entscheidung unter Unsicherheit | Decision under uncertainty | Derivat | Pensionskasse | Pension fund | Anlageverhalten | Behavioural finance | Lohn | Wages | Altersvorsorge | Retirement provision | Risikoaversion | Risk aversion | Betriebliche Altersversorgung | Occupational pension plan | Risiko | Risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jedc.2018.01.023 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011973926