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- W2157946303 abstract "We consider the portfolio selection problem in the accumulation phase of a deflned contribution pension scheme in continuous time, and compare the mean-variance and the expected utility maximization approaches. Using the embedding technique pioneered by Zhou and Li (2000) we flrst flnd the e‐cient frontier of portfolios in the Black-Scholes flnancial market. Then, using standard stochastic optimal control we flnd the optimal portfolios derived via expected utility for popular utility functions. As a main result, we prove that the optimal portfolios derived with the CARA and CRRA utility functions are not mean-variance e‐cient. As a corollary, we prove that this holds also in the standard portfolio selection problem. We provide a natural measure of ine‐ciency based on the difierence between optimal portfolio variance and minimal variance, and we show its dependence on risk aversion, Sharpe ratio of the risky asset, time horizon, initial wealth and contribution rate. Numerical examples illustrate the extent of ine‐ciency of CARA and CRRA utility functions in deflned contribution pension schemes." @default.
- W2157946303 created "2016-06-24" @default.
- W2157946303 creator A5038704460 @default.
- W2157946303 date "2009-01-01" @default.
- W2157946303 modified "2023-09-28" @default.
- W2157946303 title "Mean-variance ine-ciency of CRRA and CARA utility functions for portfolio selection in deflned contribution pension schemes ⁄" @default.
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