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

被引：1
|
作者：
Zhang, Chubing [1 ]
机构：
[1] Tianjin Univ Finance & Econ, Sch Business, Tianjin 300222, Peoples R China
来源：
SCIENTIFIC WORLD JOURNAL | 2014年
关键词：
OPTIMAL INVESTMENT; CEV MODEL; CONSTANT ELASTICITY; ANNUITY CONTRACTS; MANAGEMENT; FRAMEWORK; ASSET; CONSUMPTION; LIABILITY; PLANS;
D O I：
10.1155/2014/826125
中图分类号：
O [数理科学和化学]; P [天文学、地球科学]; Q [生物科学]; N [自然科学总论];
学科分类号：
07 ; 0710 ; 09 ;
摘要：
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.
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页数：7
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