Mean-variance target-based optimisation for defined contribution pension schemes in a stochastic framework
Year of publication: |
September 2017
|
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Authors: | Menoncin, Francesco ; Vigna, Elena |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 76.2017, p. 172-184
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Subject: | Mean-variance approach | Defined contribution pension scheme | Stochastic optimal control | Martingale method | Efficient frontier | Ruin probability | Portfolio-Management | Portfolio selection | Stochastischer Prozess | Stochastic process | Pensionskasse | Pension fund | Private Altersvorsorge | Private retirement provision | Kontrolltheorie | Control theory | Gesetzliche Rentenversicherung | Public pension system |
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