Equilibrium investment strategy for a defined contribution pension plan under stochastic interest rate and stochastic volatility
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Cites work
- scientific article; zbMATH DE number 1200330 (Why is no real title available?)
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Cited in
(28)- Survey on multi-period mean-variance portfolio selection model
- Robust mean-variance precommitment strategies of DC pension plans with ambiguity under stochastic interest rate and stochastic volatility
- Management strategies for a defined contribution pension fund under the hybrid stochastic volatility model
- 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
- Defined-contribution pension plan with stochastic interest rate and stochastic volatility
- Equilibrium investment strategy for defined-contribution pension schemes with generalized mean-variance criterion and mortality risk
- Equilibrium investment strategy for multi-period DC pension funds with stochastic interest rate and regime switching
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- Robust optimal investment strategies for mean-variance asset-liability management under 4/2 stochastic volatility models
- Equilibrium contribution rate and asset allocation of DB pension plan under the CEV model
- 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
- Optimal management of DC pension plan in a stochastic interest rate and stochastic volatility framework
- Equilibrium investment strategy for DC pension plan with default risk and return of premiums clauses under CEV model
- Robust time-consistent Stackelberg differential game for insurance with stochastic interest rates and 4/2 stochastic volatility
- Pension funds with longevity risk: an optimal portfolio insurance approach
- Dynamic mean-variance asset allocation for a DC pension plan with the minimum guarantee under 4/2 stochastic volatility model
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