Mean-variance efficiency of DC pension plan under stochastic interest rate and mean-reverting returns
Guohui Guan; Zongxia Liang
| Year of publication: |
2015
|
|---|---|
| Authors: | Guan, Guohui ; Liang, Zongxia |
| Published in: |
Insurance. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 61.2015, p. 99-109
|
| Subject: | Defined contribution pension plan | Stochastic interest rate | Mean-reverting returns | Stochastic market price of risk | Mean-variance efficiency | Stochastic dynamic programming | Stochastischer Prozess | Stochastic process | Portfolio-Management | Portfolio selection | Zins | Interest rate | Pensionskasse | Pension fund | Kapitaleinkommen | Capital income | Dynamische Optimierung | Dynamic programming | Optionspreistheorie | Option pricing theory | CAPM | Mean Reversion | Mean reversion |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010515914