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

Cites Work

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

Cited In (33)

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

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)