DETERMINISTIC INVESTMENT STRATEGY IN A DC PENSION PLAN WITH INFLATION RISK UNDER MEAN-VARIANCE CRITERION
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DOI: 10.1017/s026996482000025x
Abstract: This paper studies an optimal deterministic investment problem for a DC pension plan member with inflation risk. We describe the price processes of the inflation-indexed bond and the stock by a continuous diffusion process and… read more here.
Keywords: inflation risk; investment; deterministic investment; pension plan ... See more keywords