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

Publication

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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

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Robust consumption and portfolio choice for time varying investment opportunities

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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

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Portfolio management with stochastic interest rates and inflation ambiguity

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Stochastic differential equations. An introduction with applications.

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Robust investment-reinsurance optimization with multiscale stochastic volatility

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Robust time-inconsistent stochastic control problems

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

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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

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

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Nash equilibrium strategies for a defined contribution pension management

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

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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 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

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

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Optimal investment and reinsurance of an insurer with model uncertainty

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

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

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Identifiers

zbMATH Open document ID

1476.90163

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:1983681

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