Mean-Variance Portfolio Selection for Defined-Contribution Pension Funds with Stochastic Salary
نویسنده
چکیده
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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ورودعنوان ژورنال:
دوره 2014 شماره
صفحات -
تاریخ انتشار 2014