Asset allocation under loss aversion and minimum performance constraint in a DC pension plan with inflation risk
From MaRDI portal
Publication:2364016
DOI10.1016/J.INSMATHECO.2017.05.009zbMATH Open1394.91203OpenAlexW2706541947MaRDI QIDQ2364016FDOQ2364016
Authors: Zheng Chen, Yan Zeng, Jingyun Sun, Zhongfei Li 
Publication date: 17 July 2017
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2017.05.009
Recommendations
- Optimal asset allocation for DC pension plans under inflation
- Optimal investment of DC pension under the inflation and loss aversion
- Optimal investment for a pension fund under inflation risk
- Optimal investment of DC pension plan with minimum guarantee
- Dynamic mean-variance problem for defined contribution pension fund under inflation
Cites Work
- Optimum consumption and portfolio rules in a continuous-time model
- Title not available (Why is that?)
- Advances in prospect theory: cumulative representation of uncertainty
- Title not available (Why is that?)
- Prospect Theory: An Analysis of Decision under Risk
- Myopic Loss Aversion and the Equity Premium Puzzle
- Lifetime consumption and investment: retirement and constrained borrowing
- Optimal consumption and portfolio policies when asset prices follow a diffusion process
- Nash equilibrium strategies for a defined contribution pension management
- Optimal asset allocation for DC pension plans under inflation
- Optimal management of DC pension plan in a stochastic interest rate and stochastic volatility framework
- Equilibrium investment strategy for defined-contribution pension schemes with generalized mean-variance criterion and mortality risk
- Optimal investment with minimum performance constraints
- Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans
- Theory of constant proportion portfolio insurance
- Optimal investment strategies in the presence of a minimum guarantee.
- Prospect theory and asset prices
- Pension funds with a minimum guarantee: a stochastic control approach
- Optimal design of the guarantee for defined contribution funds
- A comparative study of portfolio insurance.
- Lifetime investment and consumption using a defined-contribution pension scheme
- Target-driven investing: optimal investment strategies in defined contribution pension plans under loss aversion
- Optimal savings management for individuals with defined contribution pension plans
- Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund
- Optimal management of DC pension plan under loss aversion and value-at-risk constraints
- Optimal consumption-portfolio choices and retirement planning
- Optimization of consumption with labor income
- Age-dependent investing: optimal funding and investment strategies in defined contribution pension plans when members are rational life cycle financial planners
- Optimal investment for a defined-contribution pension scheme under a regime switching model
- Optimal investment for a pension fund under inflation risk
- Optimal portfolio choice for an insurer with loss aversion
- Title not available (Why is that?)
- Loss aversion, habit formation and the term structures of equity and interest rates
Cited In (36)
- 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
- 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 investment and benefit payment strategy under loss aversion for target benefit pension plans
- 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
- Optimal investment of DC pension plan under loss aversion and LEL constraint
- Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility
- 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
- Robust optimal investment and benefit payment adjustment strategy for target benefit pension plans under default risk
- Optimal portfolio selection for a defined-contribution plan under two administrative fees and return of premium clauses
- Optimal investment strategy for the DC pension plan based on jump diffusion model and S-shaped utility
- DETERMINISTIC INVESTMENT STRATEGY IN A DC PENSION PLAN WITH INFLATION RISK UNDER MEAN-VARIANCE CRITERION
- Hedging longevity risk in defined contribution pension schemes
- Asset allocation for a DC pension plan with learning about stock return predictability
- 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
- Optimal investment of DC pension plan under incentive schemes and loss aversion
- Determining equivalent administrative charges for defined contribution pension plans under CEV model
This page was built for publication: Asset allocation under loss aversion and minimum performance constraint in a DC pension plan with inflation risk
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2364016)
