Asset allocation for a DC pension fund under stochastic interest rates and inflation-protected guarantee
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Cites work
- A stochastic calculus model of continuous trading: Complete markets
- A theory of the term structure of interest rates
- An equilibrium characterization of the term structure
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- Changes of numéraire, changes of probability measure and option pricing
- Martingales and arbitrage in multiperiod securities markets
- Martingales and stochastic integrals in the theory of continuous trading
- On ``optimal pension management in a stochastic framework with exponential utility
- Optimal asset allocation for DC pension plans under inflation
- Optimal design of the guarantee for defined contribution funds
- Optimal investment strategies in a CIR framework
- Optimal investment strategies in the presence of a minimum guarantee.
- Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund
- Optimal pension management in a stochastic framework.
- Optimal portfolio and background risk: an exact and an approximated solution.
- Optimal reinsurance and investment strategies for insurer under interest rate and inflation risks
- Pricing inflation-linked variable annuities under stochastic interest rates
- Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans
- Time-consistent reinsurance-investment strategy for a mean-variance insurer under stochastic interest rate model and inflation risk
Cited in
(12)- Dynamic discrete-time portfolio selection for defined contribution pension funds with inflation risk
- Optimal DC pension management under inflation risk with jump diffusion price index and cost of living process
- Asset allocation for a DC pension plan with learning about stock return predictability
- Mean-variance efficiency of DC pension plan under stochastic interest rate and mean-reverting returns
- Optimal asset allocation for DC pension plans under inflation
- Time-consistent investment strategies for a DC pension member with stochastic interest rate and stochastic income
- Minimum probability function of crossing the upper regulatory threshold for asset-liability management
- Continuous-time mean-variance optimization for defined contribution pension funds with regime-switching
- Robust time-consistent strategy for the defined contribution pension plan with a minimum guarantee under ambiguity
- Hedging longevity risk in defined contribution pension schemes
- Optimal defined-contribution pension management with financial and mortality risks
- Robust mean-variance precommitment strategies of DC pension plans with ambiguity under stochastic interest rate and stochastic volatility
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