On The Solution of Pension Fund Investment and Utility Optimization with Backward Stochastic PDE
Abstract
The problem of maximizing expected utility of pension fund investment returns from terminal wealth is considered. This observable stochastic control problem turns out to be a risky sensitive type especially with random economic factors. Under some assumptions , we established the BSPDE with a corresponding strategy that is optimal .
Keywords
Pension fundsUtility OptimizationDoléans measureBackward PDE
References
Devolder,P., Janssen, J., and Manca, R. “ On certain integrals of optimal control of Defined contribution Pension Scheme”, John Wiley and Sons , Inc., 2013 Mania M. and Tevzadze R. “ Backward Stochastic PDE and Incomplete Hedging”, International Journal of Theoretical and Applied Finance, vol. 6, 7,(2003), 663-692 N.Kazamaki, “ Continuous Exponential Martingale and BMO” Lecture Notes in
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