Portfolio optimization in a defined benefit pension plan where the risky assets are processes with constant elasticity of variance
Ricardo Josa-Fombellida, Paula López-Casado, Juan Pablo Rincón-Zapatero
| Year of publication: |
September 2018
|
|---|---|
| Authors: | Josa-Fombellida, Ricardo ; López-Casado, Paula ; Rincón-Zapatero, Juan Pablo |
| Published in: |
Insurance. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 82.2018, p. 73-86
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| Subject: | Pension funding | Dynamic programming | CEV process | Risk management | Optimal portfolio | Portfolio-Management | Portfolio selection | Pensionskasse | Pension fund | Theorie | Theory | Risikomanagement | Dynamische Optimierung | Betriebliche Altersversorgung | Occupational pension plan |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2018.06.011 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011929838