Pension funds with a minimum guarantee: a stochastic control approach
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DOI: 10.1007/s00780-010-0127-7
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More about this item
Keywords
Defined contribution pension fund; Minimum guarantee; Stochastic optimal control; Dynamic programming; Hamilton–Jacobi–Bellman equation; Viscosity solution; 91B28; 93E20; 49L25; C61; G11; G23;All these keywords.
JEL classification:
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
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