The Optimal Strategy to Research Pension Funds in China Based on the Loss Function
Based on the theory of actuarial present value, a pension fund investment goal can be formulated as an objective function. The mean-variance model is extended by defining the objective loss function. Furthermore, using the theory of stochastic optimal control, an optimal investment model is establis...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Ubiquity Press
2007-10-01
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| Series: | Data Science Journal |
| Subjects: | |
| Online Access: | http://datascience.codata.org/articles/473 |