Multi-period defined contribution pension funds investment management with regime-switching and mortality risk
From MaRDI portal
Publication:2374101
DOI10.1016/J.INSMATHECO.2016.08.005zbMATH Open1371.91171OpenAlexW2508647201MaRDI QIDQ2374101FDOQ2374101
Recommendations
- Continuous-time mean-variance optimization for defined contribution pension funds with regime-switching
- Optimal investment for a defined-contribution pension scheme under a regime switching model
- Equilibrium investment strategy for defined-contribution pension schemes with generalized mean-variance criterion and mortality risk
- Asset allocation for a DC pension fund with stochastic income and mortality risk: a multi-period mean-variance framework
- Optimal investment strategies for a defined contribution pension plan under a Markov-regime switching model
Cites work
- A BSDE approach to risk-based asset allocation of pension funds with regime switching
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- A Regime-Switching Model of Long-Term Stock Returns
- A generalized multi-period mean-variance portfolio optimization with Markov switching parameters
- Asset allocation for a DC pension fund with stochastic income and mortality risk: a multi-period mean-variance framework
- Autoregressive conditional heteroskedasticity and changes in regime
- Continuous-time mean-variance portfolio selection: a stochastic LQ framework
- Convex Programming and Duality in Normed Space
- Dynamic portfolio choice under ambiguity and regime switching mean returns
- Equilibrium investment strategy for defined-contribution pension schemes with generalized mean-variance criterion and mortality risk
- Estimation of Markov regime-switching regression models with endogenous switching
- Lifetime investment and consumption using a defined-contribution pension scheme
- Management of a pension fund under mortality and financial risks
- Markowitz's mean-variance asset-liability management with regime switching: a continuous-time model
- Markowitz's mean-variance asset-liability management with regime switching: a multi-period model
- Markowitz's mean-variance defined contribution pension fund management under inflation: a continuous-time model
- Mean-variance efficiency of DC pension plan under stochastic interest rate and mean-reverting returns
- Mean-variance optimization problems for an accumulation phase in a defined benefit plan
- Mean-variance portfolio and contribution selection in stochastic pension funding
- Nash equilibrium strategies for a defined contribution pension management
- On efficiency of mean-variance based portfolio selection in defined contribution pension schemes
- Optimal asset allocation for DC pension plans under inflation
- Optimal assets allocation and benefit outgo policies of DC pension plan with compulsory conversion claims
- Optimal design of the guarantee for defined contribution funds
- Optimal dynamic portfolio selection: multiperiod mean-variance formulation
- Optimal investment strategies and risk measures in defined contribution pension schemes.
- Optimal investment strategies in the presence of a minimum guarantee.
- Optimal investment-consumption strategy in a discrete-time model with regime switching
- Optimal management of DC pension plan in a stochastic interest rate and stochastic volatility framework
- Optimal mean-variance control for discrete-time linear systems with Markovian jumps and multiplicative noises
- Optimal portfolios for DC pension plans under a CEV model
- Optimal portfolios with regime switching and value-at-risk constraint
- Optimal savings management for individuals with defined contribution pension plans
- Pension funds with a minimum guarantee: a stochastic control approach
- Portfolio selection in stochastic markets with HARA utility functions
- Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans
- Target-driven investing: optimal investment strategies in defined contribution pension plans under loss aversion
- The Estimation of the Parameters of a Linear Regression System Obeying Two Separate Regimes
Cited in
(15)- Multi-period portfolio optimization in a defined contribution pension plan during the decumulation phase
- Pre-commitment and equilibrium investment strategies for the DC pension plan with regime switching and a return of premiums clause
- Optimal investment for a defined-contribution pension scheme under a regime switching model
- Cyclical risk exposure of pension funds: a theoretical framework
- Equilibrium strategies in a defined benefit pension plan game with regime switching
- Asset allocation for a DC pension fund with stochastic income and mortality risk: a multi-period mean-variance framework
- Continuous-time mean-variance optimization for defined contribution pension funds with regime-switching
- Robust time-consistent strategy for the defined contribution pension plan with a minimum guarantee under ambiguity
- Optimal investment strategy for a DC pension plan with mispricing under the Heston model
- Funding and investment decisions in a stochastic defined benefit pension plan with regime switching
- Equilibrium investment strategy for multi-period DC pension funds with stochastic interest rate and regime switching
- Time-consistent investment strategies for a DC pension member with stochastic interest rate and stochastic income
- Optimal investment management for a defined contribution pension fund under imperfect information
- Multi-period Telser's safety-first portfolio selection problem in a defined contribution pension plan
- Survey on multi-period mean-variance portfolio selection model
This page was built for publication: Multi-period defined contribution pension funds investment management with regime-switching and mortality risk
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2374101)
