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

机译:平均差异组合选择,用于带有随机薪水的裁定缴费养老金资金

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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.
机译:本文重点介绍了具有随机薪水的持续动态平均值组合选拔问题,其中具有随机薪水,其风险来自金融市场和非金融市场。通过将特殊的Riccati方程构建为HJB方程的连续(实际粘度)解决方案,我们获得了最佳投资组合以及高效边界的明确封闭式解决方案。

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