Mean-variance inefficiency of CRRA and CARA utility functions for portfolio selection in defined contribution pension schemes
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- He, Lin & Liang, Zongxia, 2013. "Optimal investment strategy for the DC plan with the return of premiums clauses in a mean–variance framework," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 643-649.
- Wu, Huiling & Zeng, Yan, 2015. "Equilibrium investment strategy for defined-contribution pension schemes with generalized mean–variance criterion and mortality risk," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 396-408.
- Soriano-Morales, Yazmín Viridiana & Vallejo-Jiménez, Benjamín & Venegas-Martínez, Francisco, 2017. "Impact of the Degree of Relative Risk Aversion, the Interest Rate and the Exchange Rate Depreciation on Economic Welfare in a Small Open Economy," MPRA Paper 76441, University Library of Munich, Germany.
More about this item
KeywordsMean-variance approach; efficient frontier; expected utility maximization; defined contribution pension scheme; portfolio selection; risk aversion; Sharpe ratio;
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
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