Asset allocation under loss aversion and minimum performance constraint in a DC pension plan with inflation risk
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Publication:2364016
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Cited in
(36)- Optimal investment of DC pension plan under incentive schemes and loss aversion
- Time consistent mean-variance asset allocation for a DC plan with regime switching under a jump-diffusion model
- Optimal reinsurance-investment with loss aversion under rough Heston model
- Robust equilibrium control-measure policy for a DC pension plan with state-dependent risk aversion under mean-variance criterion
- Optimal investment of DC pension under the inflation and loss aversion
- Optimal investment of DC pension plan under short-selling constraints and portfolio insurance
- Optimal investment in defined contribution pension schemes with forward utility preferences
- Optimal investment and benefit payment strategy under loss aversion for target benefit pension plans
- Robust portfolio choice for a DC pension plan with inflation risk and mean-reverting risk premium under ambiguity
- Optimal investment strategy for a DC pension plan with mispricing under the Heston model
- Optimal management of DB pension fund under both underfunded and overfunded cases
- Optimal investment of DC pension plan with two VaR constraints
- \(\alpha\)-robust optimal investment strategy for target benefit pension plans under default risk
- Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility
- Optimal investment of DC pension plan under loss aversion and LEL constraint
- Optimal DC pension investment with square-root factor processes under stochastic income and inflation risks
- Optimal DC pension management under inflation risk with jump diffusion price index and cost of living process
- Optimal portfolio selection for a defined-contribution plan under two administrative fees and return of premium clauses
- Robust optimal investment and benefit payment adjustment strategy for target benefit pension plans under default risk
- Optimal investment strategy for the DC pension plan based on jump diffusion model and S-shaped utility
- Asset allocation for a DC pension plan with learning about stock return predictability
- DETERMINISTIC INVESTMENT STRATEGY IN A DC PENSION PLAN WITH INFLATION RISK UNDER MEAN-VARIANCE CRITERION
- Hedging longevity risk in defined contribution pension schemes
- Optimal asset allocation for DC pension plans under inflation
- Portfolio choice with illiquid asset for a loss-averse pension fund investor
- Can asset allocation limits determine portfolio risk-return profiles in DC pension schemes?
- Dynamic discrete-time portfolio selection for defined contribution pension funds with inflation risk
- Optimal portfolios for the DC pension fund with mispricing under the HARA utility framework
- Optimal portfolio selection with life insurance under subjective survival belief and habit formation
- Portfolio optimization with a guaranteed minimum maturity benefit and risk-adjusted fees
- Optimal investment with S-shaped utility and trading and value at risk constraints: an application to defined contribution pension plan
- Robust retirement and life insurance with inflation risk and model ambiguity
- Optimal asset allocation for participating contracts under the VaR and PI constraint
- Minimum probability function of crossing the upper regulatory threshold for asset-liability management
- Optimal assets allocation and benefit outgo policies of DC pension plan with compulsory conversion claims
- Determining equivalent administrative charges for defined contribution pension plans under CEV model
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