On "optimal pension management in a stochastic framework" with exponential utility
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Cited by:
- Yao, Haixiang & Yang, Zhou & Chen, Ping, 2013. "Markowitz’s mean–variance defined contribution pension fund management under inflation: A continuous-time model," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 851-863.
- Yao, Haixiang & Lai, Yongzeng & Ma, Qinghua & Jian, Minjie, 2014. "Asset allocation for a DC pension fund with stochastic income and mortality risk: A multi-period mean–variance framework," Insurance: Mathematics and Economics, Elsevier, vol. 54(C), pages 84-92.
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Keywords
IB81 IM12 Defined-contribution pension plan Wage risk Inflation Optimal asset allocation Exponential utility Hamilton-Jacobi-Bellman equation;JEL classification:
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