Optimal investment and benefit adjustment problem for a target benefit pension plan with Cobb-Douglas utility and Epstein-Zin recursive utility
From MaRDI portal
Publication:2140305
DOI10.1016/J.EJOR.2021.11.033zbMATH Open1506.91161OpenAlexW3214735679MaRDI QIDQ2140305FDOQ2140305
Authors: Hui Zhao, Suxin Wang 
Publication date: 20 May 2022
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2021.11.033
Recommendations
- Optimal investment and benefit payment strategy under loss aversion for target benefit pension plans
- Robust optimal investment and benefit payment adjustment strategy for target benefit pension plans under default risk
- Optimal assets allocation and benefit adjustment strategy with longevity risk for target benefit pension plans
- Optimal investment decisions with a liability: the case of defined benefit pension plans
- Optimal investment strategies and intergenerational risk sharing for target benefit pension plans
- Optimal pension investment problem with stochastic salary
- Optimal portfolio for a defined-contribution pension plan under a constant elasticity of variance model with exponential utility
- \(\alpha\)-robust optimal investment strategy for target benefit pension plans under default risk
- Optimal investment for a defined-contribution pension scheme under a regime switching model
- Optimal investment for the defined-contribution pension with stochastic salary under a CEV model
dynamic programmingoptimal investmentCobb-Douglas utilitystochastic differential utilitytarget benefit pension plan
Cites Work
- Optimum consumption and portfolio rules in a continuous-time model
- Stochastic Differential Utility
- An optimal investment, consumption, leisure, and voluntary retirement problem with Cobb-Douglas utility: dynamic programming approaches
- Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
- Temporal Resolution of Uncertainty and Dynamic Choice Theory
- Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
- Temporal von Neumann-Morgenstern and induced preferences
- Optimal investment strategies and risk measures in defined contribution pension schemes.
- Optimal asset allocation for aggregated defined benefit pension funds with stochastic interest rates
- Stochastic pension fund control in the presence of Poisson jumps
- Optimal investment choices post-retirement in a defined contribution pension scheme
- On efficiency of mean-variance based portfolio selection in defined contribution pension schemes
- An optimal job, consumption/leisure, and investment policy
- Stochastic differential utility as the continuous-time limit of recursive utility
- Pension funds as institutions for intertemporal risk transfer
- Consumption-portfolio optimization with recursive utility in incomplete markets
- Optimal consumption and investment with Epstein-Zin recursive utility
- Consumption-investment optimization with Epstein-Zin utility in incomplete markets
- Sustainability of participation in collective pension schemes: an option pricing approach
- Optimal investment strategies and intergenerational risk sharing for target benefit pension plans
- Equilibrium strategies in a defined benefit pension plan game
- A stochastic Nash equilibrium portfolio game between two DC pension funds
- Consumption-portfolio choice with preferences for cash
- Optimal investment strategies and risk-sharing arrangements for a hybrid pension plan
- Risk-sharing and benefit smoothing in a hybrid pension plan
- Optimal DB-PAYGO pension management towards a habitual contribution rate
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
This page was built for publication: Optimal investment and benefit adjustment problem for a target benefit pension plan with Cobb-Douglas utility and Epstein-Zin recursive utility
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2140305)
