Optimal portfolios for DC pension plans under a CEV model

DOI10.1016/j.insmatheco.2009.01.005zbMath1162.91411OpenAlexW1969948172MaRDI QIDQ1023114

Publication date: 10 June 2009

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2009.01.005

zbMATH Keywords

stochastic optimal control HJB equation CEV model defined contribution pension plan optimal portfolios

Mathematics Subject Classification ID

Stochastic systems and control (93E99)

Related Items (53)

Optimal mean-variance investment and reinsurance problem for an insurer with stochastic volatility ⋮ Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model ⋮ Multi-period defined contribution pension funds investment management with regime-switching and mortality risk ⋮ Optimal excess-of-loss reinsurance and investment problem with delay and jump-diffusion risk process under the CEV model ⋮ Time-consistent investment strategy for DC pension plan with stochastic salary under CEV model ⋮ RISK MANAGEMENT OF FINANCIAL CRISES: AN OPTIMAL INVESTMENT STRATEGY WITH MULTIVARIATE JUMP-DIFFUSION MODELS ⋮ On the investment strategies in occupational pension plans ⋮ A benchmarking approach to track and compare administrative charges on flow and balance in individual account pension systems ⋮ Time-consistent mean-variance reinsurance-investment strategy for insurers under CEV model ⋮ Optimal investment strategies for an insurer and a reinsurer with a jump diffusion risk process under the CEV model ⋮ Optimal investment strategy for a family with a random household expenditure under the CEV model ⋮ Time-consistent investment strategies for a DC pension member with stochastic interest rate and stochastic income ⋮ Robust time-consistent strategy for the defined contribution pension plan with a minimum guarantee under ambiguity ⋮ Optimal DC pension investment with square-root factor processes under stochastic income and inflation risks ⋮ Family optimal investment strategy for a random household expenditure under the CEV model ⋮ An optimal portfolio problem of DC pension with input-delay and jump-diffusion process ⋮ Robust optimal investment strategy for a DC pension plan in the market with mispricing and constant elasticity of variance ⋮ Portfolio selection problem with multiple risky assets under the constant elasticity of variance model ⋮ A defined benefit pension plan model with stochastic salary and heterogeneous discounting ⋮ A defined benefit pension plan game with Brownian and Poisson jumps uncertainty ⋮ Symmetry-based optimal portfolio for a DC pension plan under a CEV model with power utility ⋮ Non-zero-sum reinsurance and investment game with correlation between insurance market and financial market under CEV model ⋮ Optimal investment for the defined-contribution pension with stochastic salary under a CEV model ⋮ Optimal investment strategies for DC pension with stochastic salary under the affine interest rate model ⋮ Unnamed Item ⋮ The \textit{CEV} model and its application in a study of optimal investment strategy ⋮ Relative performance concern on DC pension plan under Heston model with inflation risk ⋮ Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV model ⋮ Determining equivalent administrative charges for defined contribution pension plans under CEV model ⋮ Continuous-time mean-variance portfolio selection under the CEV process ⋮ Constant elasticity of variance model for proportional reinsurance and investment strategies ⋮ Unnamed Item ⋮ Optimal reinsurance–investment problem in a constant elasticity of variance stock market for jump‐diffusion risk model ⋮ Optimal reinsurance-investment problem for maximizing the product of the insurer's and the reinsurer's utilities under a CEV model ⋮ Optimal Reinsurance and Investment for a Jump Diffusion Risk Process under the CEV Model ⋮ Portfolio optimization under the stochastic elasticity of variance ⋮ A reinsurance and investment game between two insurers under the CEV model ⋮ Asset allocation for a DC pension fund with stochastic income and mortality risk: a multi-period mean-variance framework ⋮ Markowitz's mean-variance defined contribution pension fund management under inflation: a continuous-time model ⋮ Time-consistent reinsurance-investment strategy for an insurer and a reinsurer with mean-variance criterion under the CEV model ⋮ Leverage effect breakdowns and flight from risky assets ⋮ A general optimization framework for the annuity contracts with multiscale stochastic volatility ⋮ Optimal portfolio for a defined-contribution pension plan under a constant elasticity of variance model with exponential utility ⋮ Mean-variance portfolio selection under a constant elasticity of variance model ⋮ The \(CEV\) model and its application to financial markets with volatility uncertainty ⋮ Equilibrium investment strategy for DC pension plan with inflation and stochastic income under Heston's SV model ⋮ Portfolio optimization in a defined benefit pension plan where the risky assets are processes with constant elasticity of variance ⋮ Optimal portfolio selection for a defined-contribution plan under two administrative fees and return of premium clauses ⋮ Management strategies for a defined contribution pension fund under the hybrid stochastic volatility model ⋮ CONTINUOUS-TIME MEAN–VARIANCE OPTIMIZATION FOR DEFINED CONTRIBUTION PENSION FUNDS WITH REGIME-SWITCHING ⋮ Asset liability management for an ordinary insurance system with proportional reinsurance in a CIR stochastic interest rate and Heston stochastic volatility framework ⋮ Optimal management of DC pension fund under the relative performance ratio and VaR constraint ⋮ Portfolio optimization for pension plans under hybrid stochastic and local volatility.

Cites Work

This page was built for publication: Optimal portfolios for DC pension plans under a CEV model