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

DOI10.1016/j.insmatheco.2013.10.002zbMath1290.91153OpenAlexW2090999679MaRDI QIDQ2015657

Haixiang Yao, Zhou Yang, Ping Chen

Publication date: 23 June 2014

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2013.10.002

zbMATH Keywords

Hamilton-Jacobi-Bellman equationinflationportfolio selectiondefined contribution pension fundcontinuous-time mean-variance

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Portfolio theory (91G10)

Related Items (31)

Precommitment and equilibrium investment strategies for defined contribution pension plans under a jump-diffusion model ⋮ Multi-period defined contribution pension funds investment management with regime-switching and mortality risk ⋮ Optimal DC pension management under inflation risk with jump diffusion price index and cost of living process ⋮ Optimal management of DC pension plan under loss aversion and value-at-risk constraints ⋮ Optimal investment of DC pension plan with two VaR constraints ⋮ Mean-variance target-based optimisation for defined contribution pension schemes in a stochastic framework ⋮ Optimal mean-variance asset-liability management with stochastic interest rates and inflation risks ⋮ Equilibrium and precommitment mean-variance portfolio selection problem with partially observed price index and multiple assets ⋮ A data-driven neural network approach to optimal asset allocation for target based defined contribution pension plans ⋮ Optimal DC pension investment with square-root factor processes under stochastic income and inflation risks ⋮ Defined contribution pension planning with the return of premiums clauses and HARA preference in stochastic environments ⋮ Multi-period Telser's safety-first portfolio selection problem in a defined contribution pension plan ⋮ Robust optimal investment strategy for a DC pension plan in the market with mispricing and constant elasticity of variance ⋮ Intergenerational sharing of unhedgeable inflation risk ⋮ Mean-variance dynamic optimality for DC pension schemes ⋮ Optimal investment of DC pension plan under short-selling constraints and portfolio insurance ⋮ Robust portfolio choice for a DC pension plan with inflation risk and mean-reverting risk premium under ambiguity ⋮ Robust equilibrium control-measure policy for a DC pension plan with state-dependent risk aversion under mean-variance criterion ⋮ Optimal investment management for a defined contribution pension fund under imperfect information ⋮ Equilibrium investment strategy for DC pension plan with inflation and stochastic income under Heston's SV model ⋮ Optimal management of DC pension plan in a stochastic interest rate and stochastic volatility framework ⋮ Unhedgeable inflation risk within pension schemes ⋮ A stochastic Nash equilibrium portfolio game between two DC pension funds ⋮ Optimal investment-reinsurance policy with stochastic interest and inflation rates ⋮ Robust optimal strategies of DC pension plans with stochastic volatility and stochastic income under mean-variance criteria ⋮ Dynamic discrete-time portfolio selection for defined contribution pension funds with inflation risk ⋮ CONTINUOUS-TIME MEAN–VARIANCE OPTIMIZATION FOR DEFINED CONTRIBUTION PENSION FUNDS WITH REGIME-SWITCHING ⋮ Continuous-time mean-variance asset-liability management with stochastic interest rates and inflation risks ⋮ Optimal investment with S-shaped utility and trading and value at risk constraints: an application to defined contribution pension plan ⋮ Nash equilibrium strategies for a defined contribution pension management ⋮ Mean-variance efficiency of DC pension plan under stochastic interest rate and mean-reverting returns

Cites Work

• Unnamed Item
• Unnamed Item
• On the sub-optimality cost of immediate annuitization in DC pension funds
• Lifetime investment and consumption using a defined-contribution pension scheme
• Target-driven investing: optimal investment strategies in defined contribution pension plans under loss aversion
• Pension funds with a minimum guarantee: a stochastic control approach
• An extended CEV model and the Legendre transform-dual-asymptotic solutions for annuity contracts
• Optimal investment choices post-retirement in a defined contribution pension scheme
• Asset and liability management under a continuous-time mean-variance optimization framework
• Mean-variance optimization problems for an accumulation phase in a defined benefit plan
• Optimal design of the guarantee for defined contribution funds
• Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans
• Optimal investment for a pension fund under inflation risk
• The constant elasticity of variance (CEV) model and the Legendre transform-dual solution for annuity contracts
• Dynamic mean-variance problem with constrained risk control for the insurers
• Optimal portfolios for DC pension plans under a CEV model
• Optimal investment strategies and risk measures in defined contribution pension schemes.
• Optimal investment strategies in the presence of a minimum guarantee.
• Optimal pension management in a stochastic framework.
• Continuous-time mean-variance portfolio selection: a stochastic LQ framework
• Continuous-time mean-variance asset-liability management with endogenous liabilities
• On ``optimal pension management in a stochastic framework with exponential utility
• Mean-variance portfolio and contribution selection in stochastic pension funding
• Optimal asset allocation for DC pension plans under inflation
• Optimal time-consistent investment and reinsurance strategies for insurers under Heston's SV model
• Mean-variance portfolio selection for a non-life insurance company
• Controlled Markov processes and viscosity solutions
• Markowitz's mean-variance asset-liability management with regime switching: a continuous-time model
• Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
• Choosing the optimal annuitization time post-retirement
• Multiperiod mean-variance efficient portfolios with endogenous liabilities
• Convex Programming and Duality in Normed Space
• Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund
• Optimal investment strategy for defined contribution pension schemes

This page was built for publication: Markowitz's mean-variance defined contribution pension fund management under inflation: a continuous-time model