Paolo, BATTOCCHIO; Francesco, MENONCIN; Olivier, SCAILLET - Institut de Recherche Économique et Sociale (IRES), … - 2003
In a financial market with one riskless asset and n risky assets following geometric Brownian motions, we solve the problem of a pension fund maximizing the expected CRRA utility of its terminal wealth. By considering a stochastic death time for a subscriber, we solve a unique problem for bot...