Time-inconsistent consumption-investment problem for a member in a defined contribution pension plan

DOI10.3934/jimo.2016.12.1557zbMath1364.90184OpenAlexW2524132144MaRDI QIDQ2358313

Qian Zhao, Jiaqin Wei, Rong-Ming Wang

Publication date: 14 June 2017

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jimo.2016.12.1557

zbMATH Keywords

equilibrium strategiesnon-exponential discountingtime-inconsistencydefined contribution pension fundextended HJB equation

Mathematics Subject Classification ID

Management decision making, including multiple objectives (90B50) Optimal stochastic control (93E20) Financial applications of other theories (91G80)

Related Items

Non-exponential discounting portfolio management with habit formation ⋮ Asset allocation for a DC pension plan with learning about stock return predictability ⋮ Optimal pension decision under heterogeneous health statuses and bequest motives ⋮ Multi-period portfolio optimization in a defined contribution pension plan during the decumulation phase ⋮ Time consistent pension funding in a defined benefit pension plan with non-constant discounting

Cites Work

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