Optimal dynamic asset allocation of pension fund in mortality and salary risks framework
Zongxia Liang; Ming Ma
| Year of publication: |
2015
|
|---|---|
| Authors: | Liang, Zongxia ; Ma, Ming |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 64.2015, p. 151-161
|
| Subject: | Assets liabilities management (ALM) | Optimal dynamic asset allocation | Mortality risk | Salary risk | Incomplete market | Stochastic dynamic programming | Martingale method | Portfolio-Management | Portfolio selection | Sterblichkeit | Mortality | Pensionskasse | Pension fund | Theorie | Theory | Dynamische Optimierung | Dynamic programming | Unvollkommener Markt | Stochastischer Prozess | Stochastic process | Risiko | Risk | Lohn | Wages |
| 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/10011397973