Optimal investment for the defined-contribution pension with stochastic salary under a CEV model
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- Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund
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- Optimal portfolios for DC pension plans under a CEV model
- Pensionmetrics: Stochastic pension plan design and value-at-risk during the accumulation phase
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- Stochastic optimal control of annuity contracts.
- THE BLACK-SCHOLES EQUATION REVISITED: ASYMPTOTIC EXPANSIONS AND SINGULAR PERTURBATIONS
- The constant elasticity of variance (CEV) model and the Legendre transform-dual solution for annuity contracts
- The dynamics of stochastic volatility: evidence from underlying and options markets
Cited in
(18)- Optimal investment strategies for DC pension with stochastic salary under the affine interest rate model
- Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility
- Optimal investment in defined contribution pension schemes with forward utility preferences
- Optimal investment and benefit adjustment problem for a target benefit pension plan with Cobb-Douglas utility and Epstein-Zin recursive utility
- Optimal Defined Contribution Pension Management with Salary and Risky Assets Following Jump Diffusion Processes
- Optimal pension investment problem with stochastic salary
- Optimal portfolios for DC pension plans under a CEV model
- Optimal investment, consumption, and work effort strategies with stochastic salary under the HLSV model
- Optimal investment for a defined contribution pension plan under a Heston model
- Mean-variance target-based optimisation for defined contribution pension schemes in a stochastic framework
- Optimal pension fund management under risk and uncertainty: the case study of Poland
- Family optimal investment decision-making problem under CEV model
- Optimal investment strategy for a robust DC pension plan under the Heston model
- The optimal rate of return for defined contribution pension systems in a stochastic framework
- Time-consistent investment strategy for DC pension plan with stochastic salary under CEV model
- Defined contribution pension planning with the return of premiums clauses and HARA preference in stochastic environments
- Optimal portfolios for the DC pension fund with mispricing under the HARA utility framework
- Optimal investment with S-shaped utility and trading and value at risk constraints: an application to defined contribution pension plan
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