Optimal management and inflation protection for defined contribution pension plans
From MaRDI portal
Publication:2465906
DOI10.1007/s11857-007-0019-xzbMath1130.91361OpenAlexW3122165909MaRDI QIDQ2465906
Ralf Korn, Christian-Oliver Ewald, Ai-Hua Zhang
Publication date: 11 January 2008
Published in: Blätter der DGVFM (Deutsche Gesellschaft für Versicherungs- und Finanzmathematik) (Search for Journal in Brave)
Full work available at URL: https://mpra.ub.uni-muenchen.de/3300/1/MPRA_paper_3300.pdf
Related Items
Time-inconsistent consumption-investment problem for a member in a defined contribution pension plan ⋮ Robust optimal investment strategy of DC pension plans with stochastic salary and a return of premiums clause ⋮ Optimal DC pension management under inflation risk with jump diffusion price index and cost of living process ⋮ Optimal management of DC pension plan under loss aversion and value-at-risk constraints ⋮ Optimal mean-variance asset-liability management with stochastic interest rates and inflation risks ⋮ Optimal dynamic asset-liability management with stochastic interest rates and inflation risks ⋮ Optimal investment-consumption strategy under inflation in a Markovian regime-switching market ⋮ Optimal investment of DC pension plan under short-selling constraints and portfolio insurance ⋮ Time-consistent reinsurance-investment strategy for a mean-variance insurer under stochastic interest rate model and inflation risk ⋮ Equilibrium investment strategy for defined-contribution pension schemes with generalized mean-variance criterion and mortality risk ⋮ Robust portfolio choice for a DC pension plan with inflation risk and mean-reverting risk premium under ambiguity ⋮ Optimal investment for a pension fund under inflation risk ⋮ Optimal management of DC pension plan in a stochastic interest rate and stochastic volatility framework ⋮ Equilibrium investment strategy for a defined contribution pension plan under stochastic interest rate and stochastic volatility ⋮ A stochastic Nash equilibrium portfolio game between two DC pension funds ⋮ Optimal reinsurance and investment strategies for insurer under interest rate and inflation risks ⋮ Optimal management of defined contribution pension funds under the effect of inflation, mortality and uncertainty ⋮ Optimal investment with S-shaped utility and trading and value at risk constraints: an application to defined contribution pension plan ⋮ Optimal management of DC pension fund under the relative performance ratio and VaR constraint ⋮ Nash equilibrium strategies for a defined contribution pension management ⋮ Mean-variance efficiency of DC pension plan under stochastic interest rate and mean-reverting returns
Cites Work
- The Pricing of Options and Corporate Liabilities
- Optimal design of the guarantee for defined contribution funds
- Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans
- Optimal pension management in a stochastic framework.
- Value Preserving Strategies and a General Framework for Local Approaches to Optimal Portfolios
- Optimal investment strategies in a CIR framework
- Martingale and Duality Methods for Utility Maximization in an Incomplete Market
- Some Notes on the Dynamics and Optimal Control of Stochastic Pension Fund Models in Continuous Time
- Pensionmetrics: Stochastic pension plan design and value-at-risk during the accumulation phase
