Equilibrium investment strategy for a defined contribution pension plan under stochastic interest rate and stochastic volatility
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Publication:2292015
DOI10.1016/J.CAM.2019.112536zbMATH Open1442.91082OpenAlexW2980043515WikidataQ127082243 ScholiaQ127082243MaRDI QIDQ2292015FDOQ2292015
Ling Zhang, Danping Li, Yongzeng Lai
Publication date: 31 January 2020
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2019.112536
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stochastic optimizationHeston stochastic volatility modelmean-variance criterionstochastic interest rateequilibrium investment strategyDC pension plan
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Cited In (17)
- Dynamic optimal mean-variance portfolio selection with stochastic volatility and stochastic interest rate
- Equilibrium investment strategy for DC pension plan with inflation and stochastic income under Heston's SV model
- Equilibrium investment strategy for multi-period DC pension funds with stochastic interest rate and regime switching
- Equilibrium investment strategy for defined-contribution pension schemes with generalized mean-variance criterion and mortality risk
- Time-consistent investment strategy for a DC pension plan with hidden Markov regime switching
- Time-consistent investment strategies for a DC pension member with stochastic interest rate and stochastic income
- Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility
- Computational analysis of the behavior of stochastic volatility models with financial applications
- Robust time-consistent strategy for the defined contribution pension plan with a minimum guarantee under ambiguity
- Robust optimal investment strategies for mean-variance asset-liability management under 4/2 stochastic volatility models
- Stochastic investment returns and contribution rate risk in a defined benefit pension scheme
- Equilibrium investment strategy for a DC pension plan with learning about stock return predictability
- The investor problem based on the HJM model
- Equilibrium investment strategy for DC pension plan with default risk and return of premiums clauses under CEV model
- Pension funds with longevity risk: an optimal portfolio insurance approach
- Title not available (Why is that?)
- Survey on multi-period mean-variance portfolio selection model
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