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/ |
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pubmed-3981111 |
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pubmed-39811112014-04-29 Mean-Variance Portfolio Selection for Defined-Contribution Pension Funds with Stochastic Salary Zhang, Chubing Research Article 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 viscosity) solution to the HJB equation, we obtain an explicit closed form solution for the optimal investment portfolio as well as the efficient frontier. Hindawi Publishing Corporation 2014-03-20 /pmc/articles/PMC3981111/ /pubmed/24782667 http://dx.doi.org/10.1155/2014/826125 Text en Copyright © 2014 Chubing Zhang. https://creativecommons.org/licenses/by/3.0/ This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. |
| repository_type |
Open Access Journal |
| institution_category |
Foreign Institution |
| institution |
US National Center for Biotechnology Information |
| building |
NCBI PubMed |
| collection |
Online Access |
| language |
English |
| format |
Online |
| author |
Zhang, Chubing |
| spellingShingle |
Zhang, Chubing Mean-Variance Portfolio Selection for Defined-Contribution Pension Funds with Stochastic Salary |
| author_facet |
Zhang, Chubing |
| author_sort |
Zhang, Chubing |
| title |
Mean-Variance Portfolio Selection for Defined-Contribution Pension Funds with Stochastic Salary |
| title_short |
Mean-Variance Portfolio Selection for Defined-Contribution Pension Funds with Stochastic Salary |
| title_full |
Mean-Variance Portfolio Selection for Defined-Contribution Pension Funds with Stochastic Salary |
| title_fullStr |
Mean-Variance Portfolio Selection for Defined-Contribution Pension Funds with Stochastic Salary |
| title_full_unstemmed |
Mean-Variance Portfolio Selection for Defined-Contribution Pension Funds with Stochastic Salary |
| title_sort |
mean-variance portfolio selection for defined-contribution pension funds with stochastic salary |
| description |
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 viscosity) solution to the HJB equation, we obtain an explicit closed form solution for the optimal investment portfolio as well as the efficient frontier. |
| publisher |
Hindawi Publishing Corporation |
| publishDate |
2014 |
| url |
https://www.ncbi.nlm.nih.gov/pmc/articles/PMC3981111/ |
| _version_ |
1612076158824742912 |