Portfolio optimization in a defined benefit pension plan where the risky assets are processes with constant elasticity of variance (Q1799638): Difference between revisions

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scientific article

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English	Portfolio optimization in a defined benefit pension plan where the risky assets are processes with constant elasticity of variance	scientific article

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instance of

scholarly article

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title

Portfolio optimization in a defined benefit pension plan where the risky assets are processes with constant elasticity of variance (English)

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zbMATH Open document ID

1416.91192

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DOI

10.1016/j.insmatheco.2018.06.011

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author

Ricardo Josa-Fombellida

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Paula López-Casado

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Juan Pablo Rincón-Zapatero

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published in

Insurance Mathematics \& Economics

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publication date

19 October 2018

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full work available at URL

http://uvadoc.uva.es/handle/10324/41752

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Mathematics Subject Classification ID

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pension funding

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dynamic programming

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CEV process

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risk management

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optimal portfolio

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MaRDI profile type

MaRDI publication profile

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OpenAlex ID

W2809926217

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cites work

Optimal pension management in a stochastic framework.

0 references

The Pricing of Options and Corporate Liabilities

0 references

Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund

0 references

Q3773148

0 references

Some Notes on the Dynamics and Optimal Control of Stochastic Pension Fund Models in Continuous Time

0 references

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

0 references

Optimal pension funding through dynamic simulations: The case of Taiwan public employees retirement system

0 references

Pension funding incorporating downside risks.

0 references

Funding and investment decisions in a stochastic defined benefit pension plan with regime switching

0 references

Pricing and Hedging Path-Dependent Options Under the CEV Process

0 references

Optimal investment strategies in the presence of a minimum guarantee.

0 references

Mean-variance optimization problems for an accumulation phase in a defined benefit plan

0 references

The Valuation of American Options for a Class of Diffusion Processes

0 references

Stochastic optimal control of annuity contracts.

0 references

Q4032143

0 references

Optimal portfolios for DC pension plans under a CEV model

0 references

Optimal investment strategy for annuity contracts under the constant elasticity of variance (CEV) model

0 references

An extended CEV model and the Legendre transform-dual-asymptotic solutions for annuity contracts

0 references

Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV model

0 references

Dynamic approaches to pension funding

0 references

Impulse control of pension fund contributions, in a regime switching economy

0 references

Minimization of risks in pension funding by means of contributions and portfolio selection.

0 references

Optimal risk management in defined benefit stochastic pension funds

0 references

Optimal investment decisions with a liability: the case of defined benefit pension plans

0 references

Funding and investment decisions in a stochastic defined benefit pension plan with several levels of labor-income earnings

0 references

Mean-variance portfolio and contribution selection in stochastic pension funding

0 references

Stochastic pension funding when the benefit and the risky asset follow jump diffusion processes

0 references

Equilibrium investment strategy for DC pension plan with default risk and return of premiums clauses under CEV model

0 references

Optimum consumption and portfolio rules in a continuous-time model

0 references

Mean-variance portfolio selection under a constant elasticity of variance model

0 references

The constant elasticity of variance (CEV) model and the Legendre transform-dual solution for annuity contracts

0 references

Optimal Dynamic Control for the Defined Benefit Pension Plans with Stochastic Benefit Outgo

0 references

Portfolio optimization for pension plans under hybrid stochastic and local volatility.

0 references

Portfolio selection problem with multiple risky assets under the constant elasticity of variance model

0 references

On the constant elasticity of variance model for the utility maximization problem with multiple risky assets

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:1799638

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W2809926217
@@ Property / OpenAlex ID: W2809926217 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal pension management in a stochastic framework.
+Normal rank
@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund
+Normal rank
@@ Property / cites work @@
+Q3773148
@@ Property / cites work: Q3773148 / rank @@
+Normal rank
@@ Property / cites work @@
+Some Notes on the Dynamics and Optimal Control of Stochastic Pension Fund Models in Continuous Time
+Normal rank
@@ Property / cites work @@
+Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans
+Normal rank
@@ Property / cites work @@
+Optimal pension funding through dynamic simulations: The case of Taiwan public employees retirement system
+Normal rank
@@ Property / cites work @@
+Pension funding incorporating downside risks.
@@ Property / cites work: Pension funding incorporating downside risks. / rank @@
+Normal rank
@@ Property / cites work @@
+Funding and investment decisions in a stochastic defined benefit pension plan with regime switching
+Normal rank
@@ Property / cites work @@
+Pricing and Hedging Path-Dependent Options Under the CEV Process
+Normal rank
@@ Property / cites work @@
+Optimal investment strategies in the presence of a minimum guarantee.
+Normal rank
@@ Property / cites work @@
+Mean-variance optimization problems for an accumulation phase in a defined benefit plan
+Normal rank
@@ Property / cites work @@
+The Valuation of American Options for a Class of Diffusion Processes
+Normal rank
@@ Property / cites work @@
+Stochastic optimal control of annuity contracts.
@@ Property / cites work: Stochastic optimal control of annuity contracts. / rank @@
+Normal rank
@@ Property / cites work @@
+Q4032143
@@ Property / cites work: Q4032143 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal portfolios for DC pension plans under a CEV model
+Normal rank
@@ Property / cites work @@
+Optimal investment strategy for annuity contracts under the constant elasticity of variance (CEV) model
+Normal rank
@@ Property / cites work @@
+An extended CEV model and the Legendre transform-dual-asymptotic solutions for annuity contracts
+Normal rank
@@ Property / cites work @@
+Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV model
+Normal rank
@@ Property / cites work @@
+Dynamic approaches to pension funding
@@ Property / cites work: Dynamic approaches to pension funding / rank @@
+Normal rank
@@ Property / cites work @@
+Impulse control of pension fund contributions, in a regime switching economy
+Normal rank
@@ Property / cites work @@
+Minimization of risks in pension funding by means of contributions and portfolio selection.
+Normal rank
@@ Property / cites work @@
+Optimal risk management in defined benefit stochastic pension funds
+Normal rank
@@ Property / cites work @@
+Optimal investment decisions with a liability: the case of defined benefit pension plans
+Normal rank
@@ Property / cites work @@
+Funding and investment decisions in a stochastic defined benefit pension plan with several levels of labor-income earnings
+Normal rank
@@ Property / cites work @@
+Mean-variance portfolio and contribution selection in stochastic pension funding
+Normal rank
@@ Property / cites work @@
+Stochastic pension funding when the benefit and the risky asset follow jump diffusion processes
+Normal rank
@@ Property / cites work @@
+Equilibrium investment strategy for DC pension plan with default risk and return of premiums clauses under CEV model
+Normal rank
@@ Property / cites work @@
+Optimum consumption and portfolio rules in a continuous-time model
+Normal rank
@@ Property / cites work @@
+Mean-variance portfolio selection under a constant elasticity of variance model
+Normal rank
@@ Property / cites work @@
+The constant elasticity of variance (CEV) model and the Legendre transform-dual solution for annuity contracts
+Normal rank
@@ Property / cites work @@
+Optimal Dynamic Control for the Defined Benefit Pension Plans with Stochastic Benefit Outgo
+Normal rank
@@ Property / cites work @@
+Portfolio optimization for pension plans under hybrid stochastic and local volatility.
+Normal rank
@@ Property / cites work @@
+Portfolio selection problem with multiple risky assets under the constant elasticity of variance model
+Normal rank
@@ Property / cites work @@
+On the constant elasticity of variance model for the utility maximization problem with multiple risky assets
+Normal rank