CONSTANT ELASTICITY OF VARIANCE MODEL AND ANALYTICAL STRATEGIES FOR ANNUITY CONTRACTS
The constant elasticity of variance（CEV） model was constructed to study a defined contribution pension plan where benefits were paid by annuity. It also presents the process that the Legendre transform and dual theory can be applied to find an optimal investment policy during a participant＇s whole l...
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| Veröffentlicht in: | Applied mathematics and mechanics 2006-11, Vol.27 (11), p.1499-1506 |
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| container_title | Applied mathematics and mechanics |
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| creator | 肖建武 尹少华 秦成林 |
| description | The constant elasticity of variance（CEV） model was constructed to study a defined contribution pension plan where benefits were paid by annuity. It also presents the process that the Legendre transform and dual theory can be applied to find an optimal investment policy during a participant＇s whole life in the pension plan. Finally, two explicit solutions to exponential utility function in the two different periods （before and after retirement） are revealed. Hence, the optimal investment strategies in the two periods are obtained. |
| doi_str_mv | 10.1007/s10483-006-1107-z |
| format | Article |
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It also presents the process that the Legendre transform and dual theory can be applied to find an optimal investment policy during a participant＇s whole life in the pension plan. Finally, two explicit solutions to exponential utility function in the two different periods （before and after retirement） are revealed. 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| ispartof | Applied mathematics and mechanics, 2006-11, Vol.27 (11), p.1499-1506 |
| issn | 0253-4827 1573-2754 |
| language | eng |
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| source | SpringerLINK Journals; Alma/SFX Local Collection |
| subjects | CEV模型 Contracts Elasticity Investment Legendre转换 Mathematical analysis Mathematical models Optimization Strategy Utilities 分析策略 数学经济 随机最优控制 |
| title | CONSTANT ELASTICITY OF VARIANCE MODEL AND ANALYTICAL STRATEGIES FOR ANNUITY CONTRACTS |
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