Asset allocation under loss aversion and minimum performance constraint in a DC pension plan with inflation risk

DOI10.1016/j.insmatheco.2017.05.009zbMath1394.91203OpenAlexW2706541947MaRDI QIDQ2364016

Zheng Chen, Jingyun Sun, Yan Zeng, Zhong-Fei 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

zbMATH Keywords

loss aversionmartingale approachinflation riskDC pension planminimum performance constraint

Mathematics Subject Classification ID

Related Items (29)

DETERMINISTIC INVESTMENT STRATEGY IN A DC PENSION PLAN WITH INFLATION RISK UNDER MEAN-VARIANCE CRITERION ⋮ Portfolio optimization with a guaranteed minimum maturity benefit and risk-adjusted fees ⋮ Optimal DC pension management under inflation risk with jump diffusion price index and cost of living process ⋮ Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility ⋮ Optimal investment strategy for a DC pension plan with mispricing under the Heston model ⋮ Minimum probability function of crossing the upper regulatory threshold for asset-liability management ⋮ Robust optimal investment and benefit payment adjustment strategy for target benefit pension plans under default risk ⋮ Optimal investment of DC pension plan with two VaR constraints ⋮ Asset allocation for a DC pension plan with learning about stock return predictability ⋮ Hedging longevity risk in defined contribution pension schemes ⋮ Optimal DC pension investment with square-root factor processes under stochastic income and inflation risks ⋮ Optimal reinsurance-investment with loss aversion under rough Heston model ⋮ Portfolio choice with illiquid asset for a loss-averse pension fund investor ⋮ Optimal investment in defined contribution pension schemes with forward utility preferences ⋮ 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 ⋮ Robust retirement and life insurance with inflation risk and model ambiguity ⋮ Unnamed Item ⋮ Unnamed Item ⋮ Determining equivalent administrative charges for defined contribution pension plans under CEV model ⋮ Optimal investment of DC pension plan under short-selling constraints and portfolio insurance ⋮ Robust portfolio choice for a DC pension plan with inflation risk and mean-reverting risk premium under ambiguity ⋮ Robust equilibrium control-measure policy for a DC pension plan with state-dependent risk aversion under mean-variance criterion ⋮ Optimal investment and benefit payment strategy under loss aversion for target benefit pension plans ⋮ Optimal portfolio selection for a defined-contribution plan under two administrative fees and return of premium clauses ⋮ Optimal asset allocation for participating contracts under the VaR and PI constraint ⋮ Time consistent mean-variance asset allocation for a DC plan with regime switching under a jump-diffusion model ⋮ Dynamic discrete-time portfolio selection for defined contribution pension funds with inflation risk ⋮ Optimal investment with S-shaped utility and trading and value at risk constraints: an application to defined contribution pension plan

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