Optimal investment and benefit adjustment problem for a target benefit pension plan with Cobb-Douglas utility and Epstein-Zin recursive utility
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Cites work
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Cited in
(9)- A cooperative bargaining framework for decentralized portfolio optimization
- Optimal investment and benefit payment strategy under loss aversion for target benefit pension plans
- Optimal strategies for target benefit pension plans with longevity risk in ambiguous environments
- A defined benefit pension plan game with Brownian and Poisson jumps uncertainty
- Manage pension deficit with heterogeneous insurance
- Robust optimal investment and benefit payment adjustment strategy for target benefit pension plans under default risk
- Optimal VIX-linked structure for the target benefit pension plan
- Optimal investment and benefit payment strategies for TB pension plans with stochastic interest rate under the HARA utility
- Optimal investment, consumption, and work effort choice with Cobb-Douglas utility and preferences for cash
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