[1]
|
G. Deelstra, M. Grasselli and P. Koehl, “Optimal Investment Strategies in a CIR Framework,” Journal of Applied Probability, Vol. 37, No. 4, 2000, pp. 936-946.
doi:10.1239/jap/1014843074
|
[2]
|
D. O. Cajueiro and T. Yoneyama, “Optimal Portfolio, Optimal Consumption and the Markowitz Mean-Variance Analysis in a Switching Diffusion Market,” 2003.
unb.br/face/eco/seminarios/sem0803.pdf
|
[3]
|
A.Zaks, “Present Value of Annuities under Random Rates of Interest,” 2003.
http://academic.research.microsoft.com/Publication/6244175/present-value-of-annuities-under-random-rates-of-interest
|
[4]
|
D. Dentcheva and A. Ruszczynski, “Portfolio Optimization with Stochastic Dominance Constraints,” SIAM Journal on Optimization, Vol. 14, No. 2, 2003, pp. 548-566. doi:10.1137/S1052623402420528
|
[5]
|
D. Blake, “Efficiency, Risk Aversion and Portfolio Insurance: An Analysis of Financial Asset Portfolios Held by Investors in the United Kindom,” Economic Journal, Vol. 106, No. 438, 1996, pp. 1175-1192. doi:10.2307/2235514
|
[6]
|
A. Zhang, “Stochastic Optimization in Finance and Life Insurance: Applications of the Martingale Method,” Ph.D. Thesis, University of Kaiserslauten, Kaiserslautern, 2007.
|
[7]
|
J. Mukuddem-Peterson, M. A. Peterson and I. M. Schoeman, “An Application of Stochastic Optimization Theory to Institutional Finance,” Applied Mathematics Sciences, Vol. 1, No. 28, 2007, pp. 1359-1385.
|
[8]
|
P. Battocchio, “Optimal Portfolio Strategies with Stochastic Wage Income: The Case of a Defined Contribution Pension Plan,” Working Paper, Université Catholique de Louvain, Louvain-la-Neuve, 2002.
|
[9]
|
B. H. Lim and U. J. Choi, “Optimal Consumption and Portfolio Selection with Portfolio Constraints,” International Sciences, Vol. 4, 2009, pp. 293-309.
|
[10]
|
C. I. Nkeki, “On Optimal Portfolio Management of the Accu- mulation Phase of a Defined Contributory Pension Scheme,” Ph.D. Thesis, University of Ibadan, Ibadan, 2011.
|
[11]
|
C. I. Nkeki and C. R. Nwozo, “Variational Form of Classical Portfolio Strategy and Expected Wealth for a Defined Contributory Pension Scheme,” Journal of Mathematical Finance, Vol. 2, No. 1, 2012, pp. 132-139.
doi:10.4236/jmf.2012.21015
|