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

ScientificWorldJournal. 2014 Mar 20:2014:826125. doi: 10.1155/2014/826125. eCollection 2014.

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.

Publication types

  • Research Support, Non-U.S. Gov't

MeSH terms

  • Algorithms*
  • Financial Management / economics*
  • Financial Management / methods
  • Humans
  • Investments / economics
  • Investments / statistics & numerical data
  • Models, Economic*
  • Pensions / statistics & numerical data*
  • Salaries and Fringe Benefits / economics*
  • Stochastic Processes