On ``optimal pension management in a stochastic framework with exponential utility

DOI10.1016/J.INSMATHECO.2011.02.003MaRDI QIDQ2276261zbMATH OpenOpenAlexFDO

Authors Qing-Ping Ma

Publication date 1 August 2011

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2011.02.003

zbMATH Keywords

Hamilton-Jacobi-Bellman equationinflationoptimal asset allocationexponential utilitydefined-contribution pension planwage risk

Mathematics Subject Classification ID

Portfolio theory (91G10) Corporate finance (dividends, real options, etc.) (91G50) Optimal stochastic control (93E20)

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Cites work

• scientific article; zbMATH DE number 1869272 (Why is no real title available?)
• An equilibrium characterization of the term structure
• Explicit solutions to an optimal portfolio choice problem with stochastic income
• Optimal investment strategies in the presence of a minimum guarantee.
• Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund
• Optimal pension management in a stochastic framework.
• Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans

Cited in

(13)

• Optimal investment for the defined-contribution pension with stochastic salary under a CEV model
• Asset allocation for a DC pension fund with stochastic income and mortality risk: a multi-period mean-variance framework
• Robust equilibrium control-measure policy for a DC pension plan with state-dependent risk aversion under mean-variance criterion
• Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility
• Markowitz's mean-variance defined contribution pension fund management under inflation: a continuous-time model
• An optimal investment strategy and multiperiod deposit insurance pricing model for commercial banks
• The interaction between variable annuity providers and their customers under a dynamic approach
• Optimal dynamic asset-liability management with stochastic interest rates and inflation risks
• Optimal asset allocation for DC pension plans under inflation
• Dynamic discrete-time portfolio selection for defined contribution pension funds with inflation risk
• Asset allocation for a DC pension fund under stochastic interest rates and inflation-protected guarantee
• An optimal portfolio problem of DC pension with input-delay and jump-diffusion process
• Equilibrium behavioral strategy for a DC pension plan with piecewise linear state-dependent risk tolerance

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