Mean-variance portfolio selection for defined-contribution pension funds with stochastic salary.
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.
School of Business, Tianjin University of Finance and Economics, Tianjin 300222, China.
Chubing
C
Zhang
D000465:Algorithms; D005376:Financial Management / Q000191:economics* / Q000379:methods; D006801:Humans; D007449:Investments / Q000191:economics / Q000706:statistics & numerical data; D018803:Models, Economic; D010415:Pensions / Q000706:statistics & numerical data*; D012456:Salaries and Fringe Benefits / Q000191:economics*; D013269:Stochastic Processes