Equilibrium investment strategy for defined-contribution pension schemes with generalized mean-variance criterion and mortality risk (Q495509): Difference between revisions

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English	Equilibrium investment strategy for defined-contribution pension schemes with generalized mean-variance criterion and mortality risk	scientific article

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instance of

scholarly article

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title

Equilibrium investment strategy for defined-contribution pension schemes with generalized mean-variance criterion and mortality risk (English)

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Insurance Mathematics \& Economics

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publication date

14 September 2015

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zbMATH Keywords

defined-contribution pension scheme

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equilibrium investment strategy

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mortality risk

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generalized mean-variance criterion

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time-inconsistency

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.insmatheco.2015.07.007

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cites work

Time-Consistent Portfolio Selection under Short-Selling Prohibition: From Discrete to Continuous Setting

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A theory of Markovian time-inconsistent stochastic control in discrete time

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MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION

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Target-driven investing: optimal investment strategies in defined contribution pension plans under loss aversion

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Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans

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A generalized multi-period mean-variance portfolio optimization with Markov switching parameters

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Unified Framework of Mean-Field Formulations for Optimal Multi-Period Mean-Variance Portfolio Selection

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Pension funds with a minimum guarantee: a stochastic control approach

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Mean-variance efficiency of DC pension plan under stochastic interest rate and mean-reverting returns

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Optimal investment strategy for the DC plan with the return of premiums clauses in a mean-variance framework

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Multi-Period Mean-Variance Portfolio Optimization With High-Order Coupled Asset Dynamics

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Q5418117

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Q5246000

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On efficiency of mean–variance based portfolio selection in defined contribution pension schemes

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Time-consistent strategies for a multiperiod mean-variance portfolio selection problem

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Asset allocation for a DC pension fund with stochastic income and mortality risk: a multi-period mean-variance framework

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A mean-field formulation for optimal multi-period mean-variance portfolio selection with an uncertain exit time

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Optimal investment for a pension fund under inflation risk

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Optimal management and inflation protection for defined contribution pension plans

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Risk Control Over Bankruptcy in Dynamic Portfolio Selection: A Generalized Mean-Variance Formulation

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Identifiers

zbMATH Open document ID

1348.91262

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DOI

10.1016/j.insmatheco.2015.07.007

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:495509

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.insmatheco.2015.07.007
+Normal rank
@@ Property / OpenAlex ID @@
+W940111555
@@ Property / OpenAlex ID: W940111555 / rank @@
+Normal rank
@@ Property / cites work @@
+Time-Consistent Portfolio Selection under Short-Selling Prohibition: From Discrete to Continuous Setting
+Normal rank
@@ Property / cites work @@
+A theory of Markovian time-inconsistent stochastic control in discrete time
+Normal rank
@@ Property / cites work @@
+MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION
+Normal rank
@@ Property / cites work @@
+Target-driven investing: optimal investment strategies in defined contribution pension plans under loss aversion
+Normal rank
@@ Property / cites work @@
+Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans
+Normal rank
@@ Property / cites work @@
+A generalized multi-period mean-variance portfolio optimization with Markov switching parameters
+Normal rank
@@ Property / cites work @@
+Unified Framework of Mean-Field Formulations for Optimal Multi-Period Mean-Variance Portfolio Selection
+Normal rank
@@ Property / cites work @@
+Pension funds with a minimum guarantee: a stochastic control approach
+Normal rank
@@ Property / cites work @@
+Mean-variance efficiency of DC pension plan under stochastic interest rate and mean-reverting returns
+Normal rank
@@ Property / cites work @@
+Optimal investment strategy for the DC plan with the return of premiums clauses in a mean-variance framework
+Normal rank
@@ Property / cites work @@
+Multi-Period Mean-Variance Portfolio Optimization With High-Order Coupled Asset Dynamics
+Normal rank
@@ Property / cites work @@
+Q5418117
@@ Property / cites work: Q5418117 / rank @@
+Normal rank
@@ Property / cites work @@
+Q5246000
@@ Property / cites work: Q5246000 / rank @@
+Normal rank
@@ Property / cites work @@
+On efficiency of mean–variance based portfolio selection in defined contribution pension schemes
+Normal rank
@@ Property / cites work @@
+Time-consistent strategies for a multiperiod mean-variance portfolio selection problem
+Normal rank
@@ Property / cites work @@
+Asset allocation for a DC pension fund with stochastic income and mortality risk: a multi-period mean-variance framework
+Normal rank
@@ Property / cites work @@
+A mean-field formulation for optimal multi-period mean-variance portfolio selection with an uncertain exit time
+Normal rank
@@ Property / cites work @@
+Optimal investment for a pension fund under inflation risk
+Normal rank
@@ Property / cites work @@
+Optimal management and inflation protection for defined contribution pension plans
+Normal rank
@@ Property / cites work @@
+Risk Control Over Bankruptcy in Dynamic Portfolio Selection: A Generalized Mean-Variance Formulation
+Normal rank