Mean–variance portfolio and contribution selection in stochastic pension funding
- 1 May 2008
- journal article
- Published by Elsevier in European Journal of Operational Research
- Vol. 187 (1) , 120-137
Abstract
No abstract availableKeywords
Funding Information
- Ministerio de Educación, Cultura y Deporte
- European Regional Development Fund (MTM2005-06534)
- Junta de Castilla y León (VA099/04)
This publication has 7 references indexed in Scilit:
- Funding and investment decisions in a stochastic defined benefit pension plan with several levels of labor-income earningsComputers & Operations Research, 2008
- Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance FormulationMathematical Finance, 2000
- Some Notes on the Dynamics and Optimal Control of Stochastic Pension Fund Models in Continuous TimeASTIN Bulletin, 2000
- Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ FrameworkApplied Mathematics & Optimization, 2000
- MARKET RISK ADJUSTMENT IN PROJECT VALUATIONThe Journal of Finance, 1978
- Optimum consumption and portfolio rules in a continuous-time modelJournal of Economic Theory, 1971
- Constrained minimization under vector-valued criteria in finite dimensional spacesJournal of Mathematical Analysis and Applications, 1967