Equilibrium investment strategy for a defined contribution pension plan under stochastic interest rate and stochastic volatility
Given is the process \((W_R(t), W_S(t), W_L(t))\), where \(W_R,W_S, W_L\) are standard Brownian motions, \(W_R\) is independent of \((W_S(t), W_L(t))\) and \(W_S\) and \(W_L\) are correlated. A financial market is modelled as \(d S_0(t) = R(t) S_0(t)\; d t\) with a stochastic interest rate \[ d R(t) = (a - b R(t))\;d t - \sqrt{\eta_1 R(t) + \eta_2}\;d W_R(t)\;, \] where \(a,b, \eta_1, \eta_2 > 0\). Then the price of a zero coupon bond with maturity at \(T\) follows the BSDE \[ \frac{dB(t,T)}{B(t,T)} = R(t)\;d t + \sigma_B(T-t)\sqrt{\eta_1 R(t) +\eta_2} ( \lambda_R \sqrt{\eta_1 R(t) + \eta_2}\;d t + d W_R(t)) \] for an appropriate function \(\sigma_B(s)\). A risky asset is modelled as \begin{align*} \frac{d S(t)}{S(t)} = & R(t)\;d t + \sigma_S \sqrt{\eta_1 R(t) + \eta_2} (\lambda_R \sqrt{\eta_1 R(t) + \eta_2}\;d t + dW_R(t))\\ &{}+ \nu L(t)\;d t + \sqrt{L(t)}\;d W_L(t) \end{align*} with the stochastic volatility process \[ d L(t) = \alpha (\delta - L(t))\;d t + \sigma_L \sqrt{L(t)}\;d W_L(t)\;. \] The constants \(\alpha,\delta \sigma_S, \sigma_L, \nu > 0\) are positive, too. The contribution rate of a pension plan is stochastic, \begin{align*} \frac{d C(t)}{C(t)} = &\mu \;d t + \sigma_1^C \sqrt{\eta_1 R(t) + \eta_2} (\lambda_R \sqrt{\eta_1 R(t) + \eta_2}\;d t + d W_R(t))\\ &{}+ \sigma_2^C (\nu L(t)\;d t + \sqrt{L(t)}\; d W_S(t))\;, \end{align*} where \(\mu, \sigma_1^C, \sigma_2^C > 0\). The pension fund has a target value \[ Z(T) = \int_T^{T'} z_0 B(T,s) e^{g(s-T)} \frac{w-s}{w-T} \;d s\;, \] where \(T < T' \le w\) and \(T'\) is the random time of death with the distribution \(P[T' > s \mid T' > T] = (w-s)/(w-T)\). The surplus of the contract can be invested in the risky asset and in a rolling bond. Call the investment strategy by \(\pi\). The goal is now to maximise the Markovitz type expected utility \[ \phi(t,x,r,l) = E_{t,x,r,l}[ X^\pi(T) - Z(T)] - \frac\gamma2 \mathrm{Var}_{t,x,r,l}[X^\pi(T) - Z(T)]\;, \] where \(X^\pi\) is the surplus process under the investment strategy \(\pi\), and \(X(t) = x\), \(R(t) = r\) and \(L(t) = l\). This optimisation problem is solved and the optimal strategy is found.
- Optimal management of DC pension plan in a stochastic interest rate and stochastic volatility framework
- Defined-contribution pension plan with stochastic interest rate and stochastic volatility
- Mean-variance efficiency of DC pension plan under stochastic interest rate and mean-reverting returns
- Equilibrium investment strategy for DC pension plan with inflation and stochastic income under Heston's SV model
- Equilibrium investment strategy for defined contribution pension plans with the return of premiums clauses under Heston model
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A generalized multi-period mean-variance portfolio optimization with Markov switching parameters
- A Stochastic Control Approach to Portfolio Problems with Stochastic Interest Rates
- A theory of Markovian time-inconsistent stochastic control in discrete time
- A theory of the term structure of interest rates
- A YIELD‐FACTOR MODEL OF INTEREST RATES
- Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility
- An equilibrium characterization of the term structure
- Asset allocation for a DC pension fund with stochastic income and mortality risk: a multi-period mean-variance framework
- Bond pricing under mixed generalized CIR model with mixed Wishart volatility process
- Continuous-time mean-variance portfolio selection: a stochastic LQ framework
- Equilibrium investment strategy for defined-contribution pension schemes with generalized mean-variance criterion and mortality risk
- scientific article; zbMATH DE number 1200330 (Why is no real title available?)
- Mean-variance portfolio optimization with state-dependent risk aversion
- Multi-period mean variance portfolio selection under incomplete information
- Nash equilibrium strategies for a defined contribution pension management
- On efficiency of mean-variance based portfolio selection in defined contribution pension schemes
- Optimal asset allocation for DC pension plans under inflation
- Optimal asset-liability management with liquidity constraints and stochastic interest rates in the expected utility framework
- Optimal design of the guarantee for defined contribution funds
- Optimal dynamic portfolio selection: multiperiod mean-variance formulation
- Optimal investment management for a defined contribution pension fund under imperfect information
- Optimal investment strategies and risk measures in defined contribution pension schemes.
- Optimal investment strategies in the presence of a minimum guarantee.
- Optimal investment strategy for defined contribution pension schemes
- Optimal investment strategy for the DC plan with the return of premiums clauses in a mean-variance framework
- Optimal management and inflation protection for defined contribution pension plans
- Optimal management of DC pension plan in a stochastic interest rate and stochastic volatility framework
- Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund
- Optimal pension management in a stochastic framework.
- Optimal time-consistent investment and reinsurance policies for mean-variance insurers
- Optimal time-consistent investment and reinsurance strategies for mean-variance insurers with state dependent risk aversion
- Pension funds with a minimum guarantee: a stochastic control approach
- Portfolio selection based on a benchmark process with dynamic value-at-risk constraints
- Precommitment and equilibrium investment strategies for defined contribution pension plans under a jump-diffusion model
- Time cardinality constrained mean-variance dynamic portfolio selection and market timing: a stochastic control approach
- Time-consistent investment strategy under partial information
- Time-consistent reinsurance-investment strategy for an insurer and a reinsurer with mean-variance criterion under the CEV model
- Uncertain exit time multi-period mean-variance portfolio selection with endogenous liabilities and Markov jumps
- Stochastic investment returns and contribution rate risk in a defined benefit pension scheme
- Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility
- Equilibrium investment strategy for DC pension plan with inflation and stochastic income under Heston's SV model
- Dynamic optimal mean-variance portfolio selection with stochastic volatility and stochastic interest rate
- Computational analysis of the behavior of stochastic volatility models with financial applications
- Equilibrium investment strategy for a DC pension plan with learning about stock return predictability
- Management strategies for a defined contribution pension fund under the hybrid stochastic volatility model
- Optimal management of DC pension plan in a stochastic interest rate and stochastic volatility framework
- Time-consistent investment strategies for a DC pension member with stochastic interest rate and stochastic income
- Survey on multi-period mean-variance portfolio selection 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
- 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
- Defined-contribution pension plan with stochastic interest rate and stochastic volatility
- Robust time-consistent strategy for the defined contribution pension plan with a minimum guarantee under ambiguity
- Time-consistent investment strategy for a DC pension plan with hidden Markov regime switching
- Time consistent investment strategy of DC pension with premium return clause under partial information
- Robust optimal investment strategies for mean-variance asset-liability management under 4/2 stochastic volatility models
- Pension funds with longevity risk: an optimal portfolio insurance approach
- Equilibrium contribution rate and asset allocation of DB pension plan under the CEV model
- Robust time-consistent Stackelberg differential game for insurance with stochastic interest rates and 4/2 stochastic volatility
- Dynamic mean-variance asset allocation for a DC pension plan with the minimum guarantee under 4/2 stochastic volatility model
- Robust mean-variance precommitment strategies of DC pension plans with ambiguity under stochastic interest rate and stochastic volatility
- Optimal investment strategy for DC pension plan with default risk under jump-diffusion model
- Time-consistent investment strategy for a DC pension plan with the return of premiums clause and mispricing
- Equilibrium multi-period investment strategy for a DC pension plan with incomplete information: Hidden Markov model
- Robust time-consistent strategies of DC pension plans with the return of premiums clauses under inflation
- Time-consistent strategies for DC pension plans with the return of premiums clauses in stochastic environments
- Equilibrium investment and benefit payment strategies for TB pension plans under Heston’s SV model
This page was built for publication: Equilibrium investment strategy for a defined contribution pension plan under stochastic interest rate and stochastic volatility
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2292015)
