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Mean-variance portfolio selection for defined-contribution pension funds with stochastic salary.

ABSTRACT: 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.

SUBMITTER: Zhang C 

PROVIDER: S-EPMC3981111 | biostudies-other | 2014

REPOSITORIES: biostudies-other

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