Defined contribution pension planning with a stochastic interest rate and mean-reverting returns under the hyperbolic absolute risk aversion preference
Hao Chang, Chunfeng Wang, Zhenming Fang and Dan Ma
| Year of publication: |
2020
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|---|---|
| Authors: | Chang, Hao ; Wang, Chunfeng ; Fang, Zhenming ; Ma, Dan |
| Published in: |
IMA journal of management mathematics. - Oxford : Univ. Press, ISSN 1471-6798, ZDB-ID 2045093-X. - Vol. 31.2020, 2, p. 167-189
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| Subject: | stochastic affine interest rate | mean-reverting return | legendre transform-dual theory | optimal portfolio | Theorie | Theory | Portfolio-Management | Portfolio selection | Zins | Interest rate | Stochastischer Prozess | Stochastic process | Kapitaleinkommen | Capital income | Risikoaversion | Risk aversion | Mean Reversion | Mean reversion | Zinsstruktur | Yield curve | Pensionskasse | Pension fund | Anlageverhalten | Behavioural finance |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/imaman/dpz009 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012181853