Time-inconsistent consumption-investment problem for a member in a defined contribution pension plan
DOI10.3934/JIMO.2016.12.1557zbMATH Open1364.90184OpenAlexW2524132144MaRDI QIDQ2358313FDOQ2358313
Authors: Qian Zhao, Jiaqin Wei, Rongming 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
Recommendations
- Minimization of risks in defined benefit pension plan with time-inconsistent preferences
- Time-inconsistent consumption-investment problems in incomplete markets under general discount functions
- A defined benefit pension plan model with stochastic salary and heterogeneous discounting
- Inconsistent investment and consumption problems
- Time consistent pension funding in a defined benefit pension plan with non-constant discounting
equilibrium strategiesnon-exponential discountingtime-inconsistencydefined contribution pension fundextended HJB equation
Management decision making, including multiple objectives (90B50) Financial applications of other theories (91G80) Optimal stochastic control (93E20)
Cites Work
- Optimum consumption and portfolio rules in a continuous-time model
- Consistent Plans
- On the Existence of a Consistent Course of Action when Tastes are Changing
- Investment and consumption without commitment
- A BSDE approach to risk-based asset allocation of pension funds with regime switching
- Time-consistent portfolio management
- Mean-variance portfolio optimization with state-dependent risk aversion
- Optimal investment strategies and risk measures in defined contribution pension schemes.
- Optimal dynamic asset allocation strategy for ELA scheme of DC pension plan during the distribution phase
- Golden Eggs and Hyperbolic Discounting
- Ramsey Meets Laibson in the Neoclassical Growth Model
- Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans
- Consumption and portfolio rules for time-inconsistent investors
- Consumption-investment strategies with non-exponential discounting and logarithmic utility
- Lifetime investment and consumption using a defined-contribution pension scheme
- Optimal management and inflation protection for defined contribution pension plans
Cited In (9)
- Time consistent pension funding in a defined benefit pension plan with non-constant discounting
- Non-exponential discounting portfolio management with habit formation
- Optimal investment in defined contribution pension schemes with forward utility preferences
- Multi-period portfolio optimization in a defined contribution pension plan during the decumulation phase
- Consumption-investment strategies with non-exponential discounting and logarithmic utility
- A defined benefit pension plan model with stochastic salary and heterogeneous discounting
- Asset allocation for a DC pension plan with learning about stock return predictability
- Optimal pension decision under heterogeneous health statuses and bequest motives
- Minimization of risks in defined benefit pension plan with time-inconsistent preferences
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