Optimal surplus, minimum pension benefits and consumption plans in a mean-variance portfolio approach for a defined contribution pension scheme

MaRDI QIDQ2801063zbMATH OpenFDO

Authors C. I. Nkeki

Publication date 19 April 2016

Published in Konuralp Journal of Mathematics (Search for Journal in Brave)

zbMATH Keywords

mean-varianceoptimal consumptionefficient frontierpension schemesurplusdefined contributionminimum pension benefitsstochastic funding

Mathematics Subject Classification ID

Portfolio theory (91G10) Stochastic models in economics (91B70) Optimal stochastic control (93E20)

Recommendations

• Mean-variance target-based optimisation for defined contribution pension schemes in a stochastic framework
• Mean-variance portfolio and contribution selection in stochastic pension funding
• Mean-variance portfolio selection problem with time-dependent salary for defined contribution pension scheme
• Optimal time-consistent portfolio and contribution selection for defined benefit pension schemes under mean-variance criterion
• Lifetime investment and consumption using a defined-contribution pension scheme

Cited in

(3)

• Optimal investment in the presence of intangible assets and collateralized optimal debt ratio in jump-diffusion models
• Lifetime investment and consumption using a defined-contribution pension scheme
• Mean-variance portfolio selection problem with time-dependent salary for defined contribution pension scheme

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