Optimal investment strategy for the DC plan with the return of premiums clauses in a mean-variance framework

DOI10.1016/j.insmatheco.2013.09.002zbMath1290.91147OpenAlexW2146541388MaRDI QIDQ2015630

Zongxia Liang, Lin He

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.2013.09.002

zbMATH Keywords

optimal asset allocationDC pension planMarkovian time inconsistent stochastic controlmean-variance stochastic controlreturn of premiums clauses

Mathematics Subject Classification ID

Related Items (41)

Robust equilibrium strategy for DC pension plan with the return of premiums clauses in a jump-diffusion model ⋮ Robust optimal investment strategy of DC pension plans with stochastic salary and a return of premiums clause ⋮ Precommitment and equilibrium investment strategies for defined contribution pension plans under a jump-diffusion model ⋮ Time-consistent investment strategy for DC pension plan with stochastic salary under CEV model ⋮ Valuing inflation-linked death benefits under a stochastic volatility framework ⋮ Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility ⋮ Optimal investment strategy for a DC pension plan with mispricing under the Heston model ⋮ Optimal asset allocation for a DC plan with partial information under inflation and mortality risks ⋮ OPTIMAL TIME-CONSISTENT PORTFOLIO AND CONTRIBUTION SELECTION FOR DEFINED BENEFIT PENSION SCHEMES UNDER MEAN–VARIANCE CRITERION ⋮ Pre-commitment and equilibrium investment strategies for the DC pension plan with regime switching and a return of premiums clause ⋮ Mean-variance target-based optimisation for defined contribution pension schemes in a stochastic framework ⋮ A data-driven neural network approach to optimal asset allocation for target based defined contribution pension plans ⋮ Robust time-consistent strategy for the defined contribution pension plan with a minimum guarantee under ambiguity ⋮ Revisiting the \(1/N\)-strategy: a neural network framework for optimal strategies ⋮ 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 ⋮ Optimal portfolios for the DC pension fund with mispricing under the HARA utility framework ⋮ Equilibrium investment strategy for multi-period DC pension funds with stochastic interest rate and regime switching ⋮ Mean-variance dynamic optimality for DC pension schemes ⋮ Unnamed Item ⋮ Equilibrium investment strategy for a DC pension plan with learning about stock return predictability ⋮ Optimal dynamic asset allocation of pension fund in mortality and salary risks framework ⋮ Equilibrium investment strategy for defined-contribution pension schemes with generalized mean-variance criterion and mortality risk ⋮ Time-consistent strategy for a multi-period mean-variance asset-liability management problem with stochastic interest rate ⋮ Optimal investment management for a defined contribution pension fund under imperfect information ⋮ Robust portfolio choice for a defined contribution pension plan with stochastic income and interest rate ⋮ Equilibrium investment strategy for DC pension plan with default risk and return of premiums clauses under CEV model ⋮ Equilibrium investment strategy for DC pension plan with inflation and stochastic income under Heston's SV model ⋮ Equilibrium investment strategy for a defined contribution pension plan under stochastic interest rate and stochastic volatility ⋮ Optimal portfolio selection for a defined-contribution plan under two administrative fees and return of premium clauses ⋮ A regular equilibrium solves the extended HJB system ⋮ On time-inconsistent stopping problems and mixed strategy stopping times ⋮ A simple numerical solution for an optimal investment strategy for a DC pension plan in a jump diffusion model ⋮ Time consistent mean-variance asset allocation for a DC plan with regime switching under a jump-diffusion model ⋮ Time-inconsistent stopping, myopic adjustment and equilibrium stability: with a mean-variance application ⋮ Optimal time-consistent investment strategy for a DC pension plan with the return of premiums clauses and annuity contracts ⋮ Management strategies for a defined contribution pension fund under the hybrid stochastic volatility model ⋮ Nash equilibrium strategies for a defined contribution pension management ⋮ Mean-variance efficiency of DC pension plan under stochastic interest rate and mean-reverting returns ⋮ Optimal assets allocation and benefit outgo policies of DC pension plan with compulsory conversion claims

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