On ``optimal pension management in a stochastic framework with exponential utility
DOI10.1016/J.INSMATHECO.2011.02.003zbMATH Open1218.91088OpenAlexW1997327120MaRDI QIDQ2276261FDOQ2276261
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
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Hamilton-Jacobi-Bellman equationinflationoptimal asset allocationexponential utilitydefined-contribution pension planwage risk
Portfolio theory (91G10) Corporate finance (dividends, real options, etc.) (91G50) Optimal stochastic control (93E20)
Cites Work
- An equilibrium characterization of the term structure
- Title not available (Why is that?)
- Optimal pension management in a stochastic framework.
- Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans
- Optimal investment strategies in the presence of a minimum guarantee.
- Explicit solutions to an optimal portfolio choice problem with stochastic income
- Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund
Cited In (12)
- 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
- 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
- Optimal investment for the defined-contribution pension with stochastic salary under a CEV model
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