Optimal Investment Strategies for DC Pension Plan with Administrative Fees and Return of Premiums Clauses Under the Heston Model
Author:
Funder
the National Natural Science Foundation of China
the Science and Technology Project of Jiangxi Provincial Education Department
Publisher
Springer Science and Business Media LLC
Subject
Management Science and Operations Research
Link
https://link.springer.com/content/pdf/10.1007/s40305-023-00505-0.pdf
Reference21 articles.
1. Vigna, E., Haberman, S.: Optimal investment strategy for defined contribution pension schemes. Insur. Math. Econ. 28(2), 233–262 (2001)
2. Devolder, P., Princep, M.B., Fabian, I.D.: Stochastic optimal control of annuity contracts. Insur. Math. Econ. 33(2), 227–238 (2003)
3. Gao, J.W.: Stochastic optimal control of DC pension funds. Insur. Math. Econ. 42(3), 1159–1164 (2008)
4. Han, N.W., Hung, M.W.: Optimal asset allocation for DC pension plans under inflation. Insur. Math. Econ. 51(1), 172–181 (2012)
5. Yao, H.X., Yang, Z., Chen, P.: Markowitz’s mean-variance defined contribution pension fund management under inflation: a continuous-time model. Insur. Math. Econ. 53(3), 851–863 (2013)
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