Mean-Variance Portfolio Selection for Defined-Contribution Pension Funds with Stochastic Salary
This paper focuses on a continuous-time dynamic mean-variance portfolio selection problem of defined-contribution pension funds with stochastic salary, whose risk comes from both financial market and nonfinancial market. By constructing a special Riccati equation as a continuous (actually a viscosit...
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| Format: | Online |
| Language: | English |
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Hindawi Publishing Corporation
2014
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| Online Access: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC3981111/ |