Robust optimal investment strategy for a DC pension plan in the market with mispricing and constant elasticity of variance (Q6133186): Difference between revisions

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scientific article; zbMATH DE number 7715857

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English	Robust optimal investment strategy for a DC pension plan in the market with mispricing and constant elasticity of variance	scientific article; zbMATH DE number 7715857

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instance of

scholarly article

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title

Robust optimal investment strategy for a DC pension plan in the market with mispricing and constant elasticity of variance (English)

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Journal of Industrial and Management Optimization

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publication date

21 July 2023

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zbMATH Keywords

ambiguity-averse investor

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robust optimal control

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constant elasticity of variance

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power utility

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MaRDI profile type

MaRDI publication profile

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cites work

Optimal pension management in a stochastic framework.

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

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Stochastic optimal control of annuity contracts.

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Optimal investment with S-shaped utility and trading and value at risk constraints: an application to defined contribution pension plan

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Stochastic optimal control of DC pension funds

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Optimal portfolios for DC pension plans under a CEV model

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Optimal robust reinsurance-investment strategies for insurers with mean reversion and mispricing

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Optimal reinsurance and investment strategies for insurers with mispricing and model ambiguity

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Robust optimal reinsurance and investment strategies for an AAI with multiple risks

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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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Robust reinsurance contract with learning and ambiguity aversion

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Mean-CVaR portfolio selection model with ambiguity in distribution and attitude

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The costs of suboptimal dynamic asset allocation: general results and applications to interest rate risk, stock volatility risk, and growth/value tilts

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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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Robust consumption and portfolio choice for time varying investment opportunities

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Optimal portfolios for the DC pension fund with mispricing under the HARA utility framework

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Optimal investment strategy for a DC pension plan with mispricing under the Heston model

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

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Risk minimizing portfolios and HJBI equations for stochastic differential games

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Mean-variance target-based optimisation for defined contribution pension schemes in a stochastic framework

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Mean-variance dynamic optimality for DC pension schemes

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Robust optimal investment and reinsurance for an insurer with inside information

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Robust portfolio choice for a defined contribution pension plan with stochastic income and interest rate

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

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

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

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Robust optimal proportional reinsurance and investment strategy for an insurer with defaultable risks and jumps

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Identifiers

zbMATH Open document ID

1524.91092

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DOI

10.3934/jimo.2023008

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:6133186

@@ Property / cites work @@
+Optimal pension management in a stochastic framework.
+Normal rank
@@ Property / cites work @@
+Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans
+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 @@
+Optimal investment with S-shaped utility and trading and value at risk constraints: an application to defined contribution pension plan
+Normal rank
@@ Property / cites work @@
+Stochastic optimal control of DC pension funds
@@ Property / cites work: Stochastic optimal control of DC pension funds / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal portfolios for DC pension plans under a CEV model
+Normal rank
@@ Property / cites work @@
+Optimal robust reinsurance-investment strategies for insurers with mean reversion and mispricing
+Normal rank
@@ Property / cites work @@
+Optimal reinsurance and investment strategies for insurers with mispricing and model ambiguity
+Normal rank
@@ Property / cites work @@
+Robust optimal reinsurance and investment strategies for an AAI with multiple risks
+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 @@
+Robust reinsurance contract with learning and ambiguity aversion
+Normal rank
@@ Property / cites work @@
+Mean-CVaR portfolio selection model with ambiguity in distribution and attitude
+Normal rank
@@ Property / cites work @@
+The costs of suboptimal dynamic asset allocation: general results and applications to interest rate risk, stock volatility risk, and growth/value tilts
+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 @@
+Robust consumption and portfolio choice for time varying investment opportunities
+Normal rank
@@ Property / cites work @@
+Optimal portfolios for the DC pension fund with mispricing under the HARA utility framework
+Normal rank
@@ Property / cites work @@
+Optimal investment strategy for a DC pension plan with mispricing under the Heston model
+Normal rank
@@ Property / cites work @@
+Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium
+Normal rank
@@ Property / cites work @@
+Risk minimizing portfolios and HJBI equations for stochastic differential games
+Normal rank
@@ Property / cites work @@
+Mean-variance target-based optimisation for defined contribution pension schemes in a stochastic framework
+Normal rank
@@ Property / cites work @@
+Mean-variance dynamic optimality for DC pension schemes
+Normal rank
@@ Property / cites work @@
+Robust optimal investment and reinsurance for an insurer with inside information
+Normal rank
@@ Property / cites work @@
+Robust portfolio choice for a defined contribution pension plan with stochastic income and interest rate
+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 @@
+The constant elasticity of variance (CEV) model and the Legendre transform-dual solution for annuity contracts
+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 proportional reinsurance and investment strategy for an insurer with defaultable risks and jumps
+Normal rank