Mean-variance investment and contribution decisions for defined benefit pension plans in a stochastic framework

DOI10.3934/jimo.2020015zbMath1476.91165OpenAlexW2999322156MaRDI QIDQ1983676

Jiaqin Wei, Qian Zhao, Yang Shen

Publication date: 10 September 2021

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jimo.2020015

zbMATH Keywords

stochastic interest ratemean-varianceequilibrium strategytime-inconsistencydefined benefit pension funds

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (2)

Survey on multi-period mean-variance portfolio selection model ⋮ Optimal portfolios for the DC pension fund with mispricing under the HARA utility framework

Cites Work

• Consumption-investment strategies with non-exponential discounting and logarithmic utility
• On time-inconsistent stochastic control in continuous time
• Investment and consumption without commitment
• Mean-variance optimization problems for an accumulation phase in a defined benefit plan
• Optimal risk management in defined benefit stochastic pension funds
• Stochastic pension fund control in the presence of Poisson jumps
• Consumption and portfolio rules for time-inconsistent investors
• Optimal asset allocation for aggregated defined benefit pension funds with stochastic interest rates
• Stochastic investment returns and contribution rate risk in a defined benefit pension scheme
• Minimization of risks in pension funding by means of contributions and portfolio selection.
• Pension funding incorporating downside risks.
• Optimal pension management in a stochastic framework.
• Continuous-time mean-variance portfolio selection: a stochastic LQ framework
• Time-consistent mean-variance asset-liability management with random coefficients
• Dynamic approaches to pension funding
• Time-consistent mean-variance portfolio selection in discrete and continuous time
• Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem
• Mean-variance portfolio and contribution selection in stochastic pension funding
• Besides with stochastic Lipschitz condition and quadratic PDEs in Hilbert spaces
• On the control of defined-benefit pension plans
• Optimal contributions in a defined benefit pension scheme with stochastic new entrants
• Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
• Time-Inconsistent Stochastic Linear--Quadratic Control
• Backward Stochastic Differential Equations in Finance
• Some Notes on the Dynamics and Optimal Control of Stochastic Pension Fund Models in Continuous Time
• Time-Consistent Portfolio Management
• Linear-quadratic optimal control problems for mean-field stochastic differential equations — time-consistent solutions
• MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION
• Quadratic Hedging and Mean-Variance Portfolio Selection with Random Parameters in an Incomplete Market
• Contribution and solvency risk in a defined benefit pension scheme

This page was built for publication: Mean-variance investment and contribution decisions for defined benefit pension plans in a stochastic framework