Pre-commitment and equilibrium investment strategies for the DC pension plan with regime switching and a return of premiums clause (Q1667414): Difference between revisions

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English	Pre-commitment and equilibrium investment strategies for the DC pension plan with regime switching and a return of premiums clause	scientific article

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scholarly article

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title

Pre-commitment and equilibrium investment strategies for the DC pension plan with regime switching and a return of premiums clause (English)

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Insurance Mathematics \& Economics

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publication date

28 August 2018

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zbMATH Keywords

DC pension plan

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pre-commitment strategy

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equilibrium strategy

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regime switching

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return of premiums clause

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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.2018.05.005

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cites work

On time-inconsistent stochastic control in continuous time

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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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Portfolio optimization in stochastic markets

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OPTIMAL INVESTMENT FOR A DEFINED-CONTRIBUTION PENSION SCHEME UNDER A REGIME SWITCHING MODEL

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Time consistent policy of multi-period mean-variance

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Time-consistent investment policies in Markovian markets: a case of mean-variance analysis

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Markowitz's Mean-Variance Asset–Liability Management with Regime Switching: A Multi-Period Model

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Investment/Consumption Problem in Illiquid Markets with Regime-Switching

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

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A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle

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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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Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation

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Time-consistent investment strategy for DC pension plan with stochastic salary under CEV model

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

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Multiperiod Optimal Investment-Consumption Strategies with Mortality Risk and Environment Uncertainty

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Precommitment and equilibrium investment strategies for defined contribution pension plans under a jump-diffusion model

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Optimal time-consistent investment strategy for a DC pension plan with the return of premiums clauses and annuity contracts

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

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

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Nash equilibrium strategies for a defined contribution pension management

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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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Multi-period defined contribution pension funds investment management with regime-switching and mortality risk

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Multi‐period mean variance portfolio selection under incomplete information

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

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Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model

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Identifiers

zbMATH Open document ID

1416.91159

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DOI

10.1016/j.insmatheco.2018.05.005

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:1667414

@@ Property / cites work @@
+On time-inconsistent stochastic control in continuous time
+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 @@
+Portfolio optimization in stochastic markets
@@ Property / cites work: Portfolio optimization in stochastic markets / rank @@
+Normal rank
@@ Property / cites work @@
+OPTIMAL INVESTMENT FOR A DEFINED-CONTRIBUTION PENSION SCHEME UNDER A REGIME SWITCHING MODEL
+Normal rank
@@ Property / cites work @@
+Time consistent policy of multi-period mean-variance
+Normal rank
@@ Property / cites work @@
+Time-consistent investment policies in Markovian markets: a case of mean-variance analysis
+Normal rank
@@ Property / cites work @@
+Markowitz's Mean-Variance Asset–Liability Management with Regime Switching: A Multi-Period Model
+Normal rank
@@ Property / cites work @@
+Investment/Consumption Problem in Illiquid Markets with Regime-Switching
+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 @@
+A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
+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 @@
+Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
+Normal rank
@@ Property / cites work @@
+Time-consistent investment strategy for DC pension plan with stochastic salary under CEV model
+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 @@
+Multiperiod Optimal Investment-Consumption Strategies with Mortality Risk and Environment Uncertainty
+Normal rank
@@ Property / cites work @@
+Precommitment and equilibrium investment strategies for defined contribution pension plans under a jump-diffusion model
+Normal rank
@@ Property / cites work @@
+Optimal time-consistent investment strategy for a DC pension plan with the return of premiums clauses and annuity contracts
+Normal rank
@@ Property / cites work @@
+On efficiency of mean–variance based portfolio selection in defined contribution pension schemes
+Normal rank
@@ Property / cites work @@
+Equilibrium investment strategy for defined-contribution pension schemes with generalized mean-variance criterion and mortality risk
+Normal rank
@@ Property / cites work @@
+Nash equilibrium strategies for a defined contribution pension management
+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 @@
+Multi-period defined contribution pension funds investment management with regime-switching and mortality risk
+Normal rank
@@ Property / cites work @@
+Multi‐period mean variance portfolio selection under incomplete information
+Normal rank
@@ Property / cites work @@
+Continuous-time mean-variance portfolio selection: a stochastic LQ framework
+Normal rank
@@ Property / cites work @@
+Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
+Normal rank