Optimal investment strategies and risk measures in defined contribution pension schemes.

From MaRDI portal
Revision as of 16:58, 31 January 2024 by Import240129110113 (talk | contribs) (Created automatically from import240129110113)
(diff) ← Older revision | Latest revision (diff) | Newer revision → (diff)

Publication:1394964

DOI10.1016/S0167-6687(02)00128-2zbMath1039.91025OpenAlexW2124640999MaRDI QIDQ1394964

Elena Vigna, Steven Haberman

Publication date: 25 June 2003

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

Full work available at URL: https://doi.org/10.1016/s0167-6687(02)00128-2




Related Items

Time-inconsistent consumption-investment problem for a member in a defined contribution pension planRobust equilibrium strategy for DC pension plan with the return of premiums clauses in a jump-diffusion modelOptimal long-term Tier 1 employee pension management with an application to Chinese urban areasPrecommitment and equilibrium investment strategies for defined contribution pension plans under a jump-diffusion modelOn the sub-optimality cost of immediate annuitization in DC pension fundsMulti-period defined contribution pension funds investment management with regime-switching and mortality riskOptimal investment and benefit adjustment problem for a target benefit pension plan with Cobb-Douglas utility and Epstein-Zin recursive utilityFunding and investment decisions in a stochastic defined benefit pension plan with several levels of labor-income earningsTime-consistent investment strategy for DC pension plan with stochastic salary under CEV modelOptimal strategies for pay-as-you-go pension finance: a sustainability frameworkOptimal management of DC pension plan under loss aversion and value-at-risk constraintsOn pre-commitment aspects of a time-consistent strategy for a mean-variance investorMulti-period mean-variance portfolio optimization based on Monte-Carlo simulationRISK MANAGEMENT OF FINANCIAL CRISES: AN OPTIMAL INVESTMENT STRATEGY WITH MULTIVARIATE JUMP-DIFFUSION MODELSA benchmarking approach to track and compare administrative charges on flow and balance in individual account pension systemsMean-variance target-based optimisation for defined contribution pension schemes in a stochastic frameworkOptimal pension fund management in a jump-diffusion environment: theoretical and empirical studiesON ROBUST MULTI-PERIOD PRE-COMMITMENT AND TIME-CONSISTENT MEAN-VARIANCE PORTFOLIO OPTIMIZATIONTime consistent pension funding in a defined benefit pension plan with non-constant discountingOptimal dynamic asset allocation strategy for ELA scheme of DC pension plan during the distribution phaseOptimal asset allocation for DC pension plans under inflationOptimal investment strategy for annuity contracts under the constant elasticity of variance (CEV) modelAn extended CEV model and the Legendre transform-dual-asymptotic solutions for annuity contractsStochastic optimal control of DC pension fundsPension funds with a minimum guarantee: a stochastic control approachThe effect of objective formulation on retirement decision makingOptimal investment management for a defined contribution pension fund under imperfect informationOptimal investment strategies and risk-sharing arrangements for a hybrid pension planOptimal investment choices post-retirement in a defined contribution pension schemeAsset allocation for a DC pension fund with stochastic income and mortality risk: a multi-period mean-variance frameworkOptimal investment strategy for the DC plan with the return of premiums clauses in a mean-variance frameworkMarkowitz's mean-variance defined contribution pension fund management under inflation: a continuous-time modelA general optimization framework for the annuity contracts with multiscale stochastic volatilityOptimal management of DC pension plan in a stochastic interest rate and stochastic volatility frameworkEquilibrium investment strategy for a defined contribution pension plan under stochastic interest rate and stochastic volatilityDynamic asset liability management with tolerance for limited shortfallsOptimal mix between pay-as-you-go and funding for DC pension schemes in an overlapping generations modelA stochastic Nash equilibrium portfolio game between two DC pension fundsOptimal portfolios for DC pension plans under a CEV modelManagement strategies for a defined contribution pension fund under the hybrid stochastic volatility modelRobust optimal strategies of DC pension plans with stochastic volatility and stochastic income under mean-variance criteriaCONTINUOUS-TIME MEAN–VARIANCE OPTIMIZATION FOR DEFINED CONTRIBUTION PENSION FUNDS WITH REGIME-SWITCHINGOptimal asset allocation for aggregated defined benefit pension funds with stochastic interest ratesPortfolio optimization for pension plans under hybrid stochastic and local volatility.The Management of Decumulation Risks in a Defined Contribution Pension PlanMean-variance efficiency of DC pension plan under stochastic interest rate and mean-reverting returnsChoosing the optimal annuitization time post-retirementOn efficiency of mean–variance based portfolio selection in defined contribution pension schemes



Cites Work