publication . Article . 2014

Mean-Variance Portfolio Selection for Defined-Contribution Pension Funds with Stochastic Salary

Zhang, Chubing;
Open Access English
  • Published: 01 Mar 2014 Journal: The Scientific World Journal, volume 2,014 (issn: 2356-6140, eissn: 1537-744X, Copyright policy)
  • Publisher: Hindawi Publishing Corporation
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.
arxiv: Mathematics::Optimization and Control
free text keywords: Q, R, Research Article, T, Science, Medicine, Technology, Article Subject
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publication . Article . 2014

Mean-Variance Portfolio Selection for Defined-Contribution Pension Funds with Stochastic Salary

Zhang, Chubing;