Ma, Qing-Ping - In: Insurance: Mathematics and Economics 49 (2011) 1, pp. 61-69
This paper reconsiders the optimal asset allocation problem in a stochastic framework for defined-contribution pension plans with exponential utility, which has been investigated by Battocchio and Menoncin [Battocchio, P., Menoncin, F., 2004. Optimal pension management in a stochastic framework....