Robust equilibrium control-measure policy for a DC pension plan with state-dependent risk aversion under mean-variance criterion (Q1983681): Difference between revisions

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English	Robust equilibrium control-measure policy for a DC pension plan with state-dependent risk aversion under mean-variance criterion	scientific article

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scholarly article

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title

Robust equilibrium control-measure policy for a DC pension plan with state-dependent risk aversion under mean-variance criterion (English)

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Journal of Industrial and Management Optimization

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publication date

10 September 2021

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zbMATH Keywords

DC pension plan

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state-dependent risk aversion

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robust equilibrium control-measure policy

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extended HJBI equation

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.3934/jimo.2020018

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cites work

Optimal pension management in a stochastic framework.

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MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION

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On time-inconsistent stochastic control in continuous time

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

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Optimal consumption-portfolio choices and retirement planning

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

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Asset allocation under loss aversion and minimum performance constraint in a DC pension plan with inflation risk

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BETTER THAN DYNAMIC MEAN‐VARIANCE: TIME INCONSISTENCY AND FREE CASH FLOW STREAM

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Continuous time mean-variance portfolio optimization with piecewise state-dependent risk aversion

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Optimal investment strategies in the presence of a minimum guarantee.

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Robust portfolio choice with stochastic interest rates

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

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Robust control and model misspecification

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Time-Inconsistent Stochastic Linear--Quadratic Control

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Q4002114

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Worst-case-optimal dynamic reinsurance for large claims

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Time-consistent reinsurance and investment strategies for mean-variance insurer under partial information

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Optimal time-consistent investment and reinsurance strategies for mean-variance insurers with state dependent risk aversion

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Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation

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Stochastic differential portfolio games for an insurer in a jump-diffusion risk process

0 references

Robust consumption and portfolio choice for time varying investment opportunities

0 references

On ``optimal pension management in a stochastic framework'' with exponential utility

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Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium

0 references

Portfolio management with stochastic interest rates and inflation ambiguity

0 references

Stochastic differential equations. An introduction with applications.

0 references

Robust investment-reinsurance optimization with multiscale stochastic volatility

0 references

Robust time-inconsistent stochastic control problems

0 references

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

0 references

Nash equilibrium strategy for a DC pension plan with state-dependent risk aversion: a multiperiod mean-variance framework

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Robust optimal investment strategy for an AAM of DC pension plans with stochastic interest rate and stochastic volatility

0 references

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

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Nash equilibrium strategies for a defined contribution pension management

0 references

Equilibrium consumption and portfolio decisions with stochastic discount rate and time-varying utility functions

0 references

Markowitz's mean-variance defined contribution pension fund management under inflation: a continuous-time model

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Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model

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Robust optimal strategies for an insurer with reinsurance and investment under benchmark and mean-variance criteria

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Robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps

0 references

Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility

0 references

Optimal investment and reinsurance of an insurer with model uncertainty

0 references

Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model

0 references

Continuous-time mean-variance portfolio selection: a stochastic LQ framework

0 references

Identifiers

zbMATH Open document ID

1476.90163

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DOI

10.3934/jimo.2020018

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:1983681

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.3934/jimo.2020018
+Normal rank
@@ Property / OpenAlex ID @@
+W3000435172
@@ Property / OpenAlex ID: W3000435172 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal pension management in a stochastic framework.
+Normal rank
@@ Property / cites work @@
+MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION
+Normal rank
@@ Property / cites work @@
+On time-inconsistent stochastic control in continuous time
+Normal rank
@@ Property / cites work @@
+Target-driven investing: optimal investment strategies in defined contribution pension plans under loss aversion
+Normal rank
@@ Property / cites work @@
+Optimal consumption-portfolio choices and retirement planning
+Normal rank
@@ Property / cites work @@
+Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans
+Normal rank
@@ Property / cites work @@
+Asset allocation under loss aversion and minimum performance constraint in a DC pension plan with inflation risk
+Normal rank
@@ Property / cites work @@
+BETTER THAN DYNAMIC MEAN‐VARIANCE: TIME INCONSISTENCY AND FREE CASH FLOW STREAM
+Normal rank
@@ Property / cites work @@
+Continuous time mean-variance portfolio optimization with piecewise state-dependent risk aversion
+Normal rank
@@ Property / cites work @@
+Optimal investment strategies in the presence of a minimum guarantee.
+Normal rank
@@ Property / cites work @@
+Robust portfolio choice with stochastic interest rates
+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 @@
+Robust control and model misspecification
@@ Property / cites work: Robust control and model misspecification / rank @@
+Normal rank
@@ Property / cites work @@
+Time-Inconsistent Stochastic Linear--Quadratic Control
+Normal rank
@@ Property / cites work @@
+Q4002114
@@ Property / cites work: Q4002114 / rank @@
+Normal rank
@@ Property / cites work @@
+Worst-case-optimal dynamic reinsurance for large claims
+Normal rank
@@ Property / cites work @@
+Time-consistent reinsurance and investment strategies for mean-variance insurer under partial information
+Normal rank
@@ Property / cites work @@
+Optimal time-consistent investment and reinsurance strategies for mean-variance insurers with state dependent risk aversion
+Normal rank
@@ Property / cites work @@
+Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
+Normal rank
@@ Property / cites work @@
+Stochastic differential portfolio games for an insurer in a jump-diffusion risk process
+Normal rank
@@ Property / cites work @@
+Robust consumption and portfolio choice for time varying investment opportunities
+Normal rank
@@ Property / cites work @@
+On ``optimal pension management in a stochastic framework'' with exponential utility
+Normal rank
@@ Property / cites work @@
+Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium
+Normal rank
@@ Property / cites work @@
+Portfolio management with stochastic interest rates and inflation ambiguity
+Normal rank
@@ Property / cites work @@
+Stochastic differential equations. An introduction with applications.
+Normal rank
@@ Property / cites work @@
+Robust investment-reinsurance optimization with multiscale stochastic volatility
+Normal rank
@@ Property / cites work @@
+Robust time-inconsistent stochastic control problems
+Normal rank
@@ Property / cites work @@
+On efficiency of mean–variance based portfolio selection in defined contribution pension schemes
+Normal rank
@@ Property / cites work @@
+Nash equilibrium strategy for a DC pension plan with state-dependent risk aversion: a multiperiod mean-variance framework
+Normal rank
@@ Property / cites work @@
+Robust optimal investment strategy for an AAM of DC pension plans with stochastic interest rate and stochastic volatility
+Normal rank
@@ Property / cites work @@
+Time-consistent strategies for a multiperiod mean-variance portfolio selection problem
+Normal rank
@@ Property / cites work @@
+Nash equilibrium strategies for a defined contribution pension management
+Normal rank
@@ Property / cites work @@
+Equilibrium consumption and portfolio decisions with stochastic discount rate and time-varying utility functions
+Normal rank
@@ Property / cites work @@
+Markowitz's mean-variance defined contribution pension fund management under inflation: a continuous-time model
+Normal rank
@@ Property / cites work @@
+Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model
+Normal rank
@@ Property / cites work @@
+Robust optimal strategies for an insurer with reinsurance and investment under benchmark and mean-variance criteria
+Normal rank
@@ Property / cites work @@
+Robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps
+Normal rank
@@ Property / cites work @@
+Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility
+Normal rank
@@ Property / cites work @@
+Optimal investment and reinsurance of an insurer with model uncertainty
+Normal rank
@@ Property / cites work @@
+Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model
+Normal rank
@@ Property / cites work @@
+Continuous-time mean-variance portfolio selection: a stochastic LQ framework
+Normal rank