Equilibrium investment strategy for DC pension plan with default risk and return of premiums clauses under CEV model (Q506063): Difference between revisions

@@ Property / author @@
-Xi-Min Rong
@@ Property / author: Xi-Min Rong / rank @@
-Normal rank
@@ Property / author @@
-Hui Zhao
@@ Property / author: Hui Zhao / rank @@
-Normal rank
@@ Property / author @@
+Hui Zhao
@@ Property / author: Hui Zhao / rank @@
+Normal rank
@@ Property / author @@
+Xi-Min Rong
@@ Property / author: Xi-Min Rong / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G10
@@ Property / Mathematics Subject Classification ID: 91G10 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+B30
@@ Property / Mathematics Subject Classification ID: 91B30 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+E20
@@ Property / Mathematics Subject Classification ID: 93E20 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6679032
@@ Property / zbMATH DE Number: 6679032 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+DC pension plan
@@ Property / zbMATH Keywords: DC pension plan / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+default risk
@@ Property / zbMATH Keywords: default risk / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+constant elasticity of variance (CEV) model
@@ Property / zbMATH Keywords: constant elasticity of variance (CEV) model / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+mean-variance criterion
@@ Property / zbMATH Keywords: mean-variance criterion / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+time-consistency
@@ Property / zbMATH Keywords: time-consistency / rank @@
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@@ 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.2016.10.007
+Normal rank
@@ Property / OpenAlex ID @@
+W2538871299
@@ Property / OpenAlex ID: W2538871299 / rank @@
+Normal rank
@@ Property / cites work @@
+Portfolio choices and VaR constraint with a defaultable asset
+Normal rank
@@ Property / cites work @@
+Portfolio optimization with a defaultable security
+Normal rank
@@ Property / cites work @@
+MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION
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+An optimal portfolio problem in a defaultable market
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+Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans
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@@ Property / cites work @@
+DYNAMIC PORTFOLIO OPTIMIZATION WITH A DEFAULTABLE SECURITY AND REGIME‐SWITCHING
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+Optimal dividend strategies with time-inconsistent preferences
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+Optimal design of the guarantee for defined contribution funds
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+Pension funds with a minimum guarantee: a stochastic control approach
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+Optimal management of DC pension plan in a stochastic interest rate and stochastic volatility framework
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+Optimal asset allocation for DC pension plans under inflation
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+Optimal investment strategy for the DC plan with the return of premiums clauses in a mean-variance framework
+Normal rank
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+Mathematical methods for financial markets.
@@ Property / cites work: Mathematical methods for financial markets. / rank @@
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@@ Property / cites work @@
+Q4936390
@@ Property / cites work: Q4936390 / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing the risks of default
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+Normal rank
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+Optimal investment-reinsurance strategy for mean-variance insurers with square-root factor process
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+Precommitment and equilibrium investment strategies for defined contribution pension plans under a jump-diffusion model
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+Equilibrium investment strategy for defined-contribution pension schemes with generalized mean-variance criterion and mortality risk
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+Q4255599
@@ Property / cites work: Q4255599 / rank @@
+Normal rank
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+Time-consistent investment-reinsurance strategy for mean-variance insurers with a defaultable security
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+Optimal reinsurance and investment problem for an insurer with counterparty risk
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@@ links / mardi / name / links / mardi / name @@
+Publication:506063