Asset allocation for a DC pension fund with stochastic income and mortality risk: a multi-period mean-variance framework

Recommendations

Equilibrium investment strategy for defined-contribution pension schemes with generalized mean-variance criterion and mortality risk
Optimal dynamic asset allocation of pension fund in mortality and salary risks framework
Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans
Markowitz's mean-variance defined contribution pension fund management under inflation: a continuous-time model
Multi-period defined contribution pension funds investment management with regime-switching and mortality risk

Cites work

Choosing the optimal annuitization time post-retirement
Continuous-time mean-variance asset-liability management with endogenous liabilities
Continuous-time mean-variance portfolio selection: a stochastic LQ framework
Convex Programming and Duality in Normed Space
Dynamic mean-variance portfolio selection with borrowing constraint
Lifetime investment and consumption using a defined-contribution pension scheme
Management of a pension fund under mortality and financial risks
Markowitz's mean-variance asset-liability management with regime switching: a continuous-time model
Mean-variance optimization problems for an accumulation phase in a defined benefit plan
Mean-variance portfolio and contribution selection in stochastic pension funding
Mean-variance principle of managing cointegrated risky assets and random liabilities
Multi-period mean-variance portfolio selection with Markov regime switching and uncertain time-horizon
On ``optimal pension management in a stochastic framework with exponential utility
Optimal asset allocation for DC pension plans under inflation
Optimal asset allocation in life annuities: a note.
Optimal dynamic portfolio selection: multiperiod mean-variance formulation
Optimal investment choices post-retirement in a defined contribution pension scheme
Optimal investment decisions when time-horizon is uncertain
Optimal investment for a pension fund under inflation risk
Optimal investment strategies and risk measures in defined contribution pension schemes.
Optimal investment strategies in the presence of a minimum guarantee.
Optimal investment strategy for defined contribution pension schemes
Optimal mean-variance control for discrete-time linear systems with Markovian jumps and multiplicative noises
Optimal portfolios for DC pension plans under a CEV model
Pension funds with a minimum guarantee: a stochastic control approach
Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans
Target-driven investing: optimal investment strategies in defined contribution pension plans under loss aversion

Cited in

(40)

Multi-period defined contribution pension funds investment management with regime-switching and mortality risk
Optimal investment in defined contribution pension schemes with forward utility preferences
Lifetime asset allocation with idiosyncratic and systematic mortality risks
Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases
Optimal dynamic asset allocation of pension fund in mortality and salary risks framework
The effect of objective formulation on retirement decision making
Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans
Equilibrium investment strategy for a DC pension plan with learning about stock return predictability
Optimal management of DC pension plan under loss aversion and value-at-risk constraints
Mean-variance optimization problems for an accumulation phase in a defined benefit plan
Asset allocation for a DC pension fund under stochastic interest rates and inflation-protected guarantee
Pre-commitment and equilibrium investment strategies for the DC pension plan with regime switching and a return of premiums clause
Mean-variance portfolio selection with an uncertain exit-time in a regime-switching market
A stochastic Nash equilibrium portfolio game between two DC pension funds
Time-consistent investment strategy for a DC pension plan with hidden Markov regime switching
Nash equilibrium strategy for a DC pension plan with state-dependent risk aversion: a multiperiod mean-variance framework
Convergence of the embedded mean-variance optimal points with discrete sampling
Continuous-time mean-variance optimization for defined contribution pension funds with regime-switching
Optimal pension fund management under multi-period risk minimization
Robust time-consistent strategy for the defined contribution pension plan with a minimum guarantee under ambiguity
Optimal investment strategy for a DC pension plan with mispricing under the Heston model
Equilibrium investment strategy for a defined contribution pension plan under stochastic interest rate and stochastic volatility
Management of a pension fund under mortality and financial risks
Equilibrium investment strategy for multi-period DC pension funds with stochastic interest rate and regime switching
Asset allocation for a DC pension plan with learning about stock return predictability
Dynamic discrete-time portfolio selection for defined contribution pension funds with inflation risk
Mean-Variance Asset Liability Management with State-Dependent Risk Aversion
Time-consistent investment strategies for a DC pension member with stochastic interest rate and stochastic income
Optimal investment management for a defined contribution pension fund under imperfect information
Management of portfolio depletion risk through optimal life cycle asset allocation
The study of mean-variance risky asset management with state-dependent risk aversion under regime switching market
Target benefit versus defined contribution scheme: a multi-period framework
Multi-period Telser's safety-first portfolio selection problem in a defined contribution pension plan
Survey on multi-period mean-variance portfolio selection model
Mean-variance dynamic optimality for DC pension schemes
Optimal long-term Tier 1 employee pension management with an application to Chinese urban areas
Equilibrium investment strategy for defined-contribution pension schemes with generalized mean-variance criterion and mortality risk
Time-consistent strategies for multi-period portfolio optimization with/without the risk-free asset
Mean-variance efficiency of DC pension plan under stochastic interest rate and mean-reverting returns
Optimal defined-contribution pension management with financial and mortality risks

This page was built for publication: Asset allocation for a DC pension fund with stochastic income and mortality risk: a multi-period mean-variance framework

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2015477)