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

DOI10.3934/JIMO.2016.12.1557MaRDI QIDQ2358313zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

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

Mathematics Subject Classification ID

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

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

Cites work

• A BSDE approach to risk-based asset allocation of pension funds with regime switching
• Consistent Plans
• Consumption and portfolio rules for time-inconsistent investors
• Consumption-investment strategies with non-exponential discounting and logarithmic utility
• Golden Eggs and Hyperbolic Discounting
• Investment and consumption without commitment
• Lifetime investment and consumption using a defined-contribution pension scheme
• Mean-variance portfolio optimization with state-dependent risk aversion
• On the Existence of a Consistent Course of Action when Tastes are Changing
• Optimal dynamic asset allocation strategy for ELA scheme of DC pension plan during the distribution phase
• Optimal investment strategies and risk measures in defined contribution pension schemes.
• Optimal management and inflation protection for defined contribution pension plans
• Optimum consumption and portfolio rules in a continuous-time model
• Ramsey Meets Laibson in the Neoclassical Growth Model
• Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans
• Time-consistent portfolio management

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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