Nash equilibrium strategies for a defined contribution pension management

From MaRDI portal
Publication:2347073


DOI10.1016/j.insmatheco.2015.03.014zbMath1318.91125OpenAlexW2066476153MaRDI QIDQ2347073

Huiling Wu, Ling Zhang, Hua Chen

Publication date: 26 May 2015

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2015.03.014



Related Items

Robust equilibrium strategy for DC pension plan with the return of premiums clauses in a jump-diffusion model, Asset allocation under loss aversion and minimum performance constraint in a DC pension plan with inflation risk, Robust optimal investment strategy of DC pension plans with stochastic salary and a return of premiums clause, Precommitment and equilibrium investment strategies for defined contribution pension plans under a jump-diffusion model, DETERMINISTIC INVESTMENT STRATEGY IN A DC PENSION PLAN WITH INFLATION RISK UNDER MEAN-VARIANCE CRITERION, Multi-period defined contribution pension funds investment management with regime-switching and mortality risk, Time-consistent investment strategy for DC pension plan with stochastic salary under CEV model, Pre-commitment and equilibrium investment strategies for the DC pension plan with regime switching and a return of premiums clause, Asset allocation for a DC pension plan with learning about stock return predictability, Mean-variance target-based optimisation for defined contribution pension schemes in a stochastic framework, Equilibrium and precommitment mean-variance portfolio selection problem with partially observed price index and multiple assets, A data-driven neural network approach to optimal asset allocation for target based defined contribution pension plans, Time-consistent investment strategies for a DC pension member with stochastic interest rate and stochastic income, Optimal DC pension investment with square-root factor processes under stochastic income and inflation risks, Equilibrium behavioral strategy for a DC pension plan with piecewise linear state-dependent risk tolerance, Multi-period Telser's safety-first portfolio selection problem in a defined contribution pension plan, Equilibrium investment strategy for multi-period DC pension funds with stochastic interest rate and regime switching, Mean-variance dynamic optimality for DC pension schemes, A Stackelberg game of backward stochastic differential equations with applications, Equilibrium investment strategy for a DC pension plan with learning about stock return predictability, Robust portfolio choice for a DC pension plan with inflation risk and mean-reverting risk premium under ambiguity, Robust equilibrium control-measure policy for a DC pension plan with state-dependent risk aversion under mean-variance criterion, Optimal investment management for a defined contribution pension fund under imperfect information, Robust portfolio choice for a defined contribution pension plan with stochastic income and interest rate, Equilibrium investment strategy for DC pension plan with inflation and stochastic income under Heston's SV model, Equilibrium investment strategy for a defined contribution pension plan under stochastic interest rate and stochastic volatility, A stochastic Nash equilibrium portfolio game between two DC pension funds, Linear-quadratic Stackelberg game for mean-field backward stochastic differential system and application, A simple numerical solution for an optimal investment strategy for a DC pension plan in a jump diffusion model, Optimal time-consistent reinsurance strategies for mean-variance insurers under thinning dependence structure, Optimal control of an objective functional with non-linearity between the conditional expectations: solutions to a class of time-inconsistent portfolio problems, Relationship between backward and forward linear-quadratic mean-field-game with terminal constraint and optimal asset allocation for insurers and pension funds



Cites Work