Precommitment and equilibrium investment strategies for defined contribution pension plans under a jump-diffusion model
From MaRDI portal
Publication:282291
DOI10.1016/j.insmatheco.2016.01.005zbMath1348.91261OpenAlexW2259050232MaRDI QIDQ282291
Jingyun Sun, Yan Zeng, Zhong-Fei Li
Publication date: 12 May 2016
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2016.01.005
mean-variance criterionequilibrium strategydefined contribution pension planjump-diffusion processprecommitment strategy
Related Items
Robust equilibrium strategy for DC pension plan with the return of premiums clauses in a jump-diffusion model, Time-consistent mean-variance portfolio optimization: a numerical impulse control approach, Who Are I: Time Inconsistency and Intrapersonal Conflict and Reconciliation, 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 asset allocation for a DC plan with partial information under inflation and mortality risks, Pre-commitment and equilibrium investment strategies for the DC pension plan with regime switching and a return of premiums clause, Equilibrium and precommitment mean-variance portfolio selection problem with partially observed price index and multiple assets, A stochastic goodwill model depending on quality level and advertising, Defined contribution pension planning with the return of premiums clauses and HARA preference in stochastic environments, Time-consistent investment strategy for a DC pension plan with hidden Markov regime switching, ON ROBUST MULTI-PERIOD PRE-COMMITMENT AND TIME-CONSISTENT MEAN-VARIANCE PORTFOLIO OPTIMIZATION, An optimal portfolio problem of DC pension with input-delay and jump-diffusion process, Multi-period Telser's safety-first portfolio selection problem in a defined contribution pension plan, Equilibrium investment strategy for multi-period DC pension funds with stochastic interest rate and regime switching, Optimal investment of DC pension plan under short-selling constraints and portfolio insurance, Equilibrium investment strategy for a DC pension plan with learning about stock return predictability, Time-consistent strategy for a multi-period mean-variance asset-liability management problem with stochastic interest rate, Robust portfolio choice for a defined contribution pension plan with stochastic income and interest rate, Equilibrium investment strategy for DC pension plan with default risk and return of premiums clauses under CEV model, PRACTICAL INVESTMENT CONSEQUENCES OF THE SCALARIZATION PARAMETER FORMULATION IN DYNAMIC MEAN–VARIANCE PORTFOLIO OPTIMIZATION, The surprising robustness of dynamic mean-variance portfolio optimization to model misspecification errors, Equilibrium investment strategy for a defined contribution pension plan under stochastic interest rate and stochastic volatility, Optimal portfolio selection for a defined-contribution plan under two administrative fees and return of premium clauses, A simple numerical solution for an optimal investment strategy for a DC pension plan in a jump diffusion model, Time consistent mean-variance asset allocation for a DC plan with regime switching under a jump-diffusion model, On the Distribution of Terminal Wealth under Dynamic Mean-Variance Optimal Investment Strategies, Dynamic discrete-time portfolio selection for defined contribution pension funds with inflation risk, Optimal control of an objective functional with non-linearity between the conditional expectations: solutions to a class of time-inconsistent portfolio problems, Optimal management of DC pension fund under the relative performance ratio and VaR constraint
Cites Work
- Equilibrium investment strategy for defined-contribution pension schemes with generalized mean-variance criterion and mortality risk
- Applied stochastic control of jump diffusions.
- Stochastic optimal control of DC pension funds
- Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans
- Optimal investment strategies and risk measures in defined contribution pension schemes.
- Stochastic optimal control of annuity contracts.
- Optimal pension management in a stochastic framework.
- Continuous-time mean-variance portfolio selection: a stochastic LQ framework
- Stochastic pension funding when the benefit and the risky asset follow jump diffusion processes
- Optimal dividend strategies with time-inconsistent preferences
- Optimal investment strategy for the DC plan with the return of premiums clauses in a mean-variance framework
- Markowitz's mean-variance defined contribution pension fund management under inflation: a continuous-time model
- Optimal time-consistent investment and reinsurance policies for mean-variance insurers
- Nash equilibrium strategies for a defined contribution pension management
- Time-consistent strategies for a multiperiod mean-variance portfolio selection problem
- Optimal dynamic asset allocation strategy for ELA scheme of DC pension plan during the distribution phase
- Time-consistent investment and reinsurance strategies for mean-variance insurers with jumps
- Optimal asset allocation for DC pension plans under inflation
- Optimal time-consistent investment and reinsurance strategies for mean-variance insurers with state dependent risk aversion
- Optimal management of DC pension plan in a stochastic interest rate and stochastic volatility framework
- Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
- Time-Inconsistent Stochastic Linear--Quadratic Control
- OPTIMAL TIME-CONSISTENT PORTFOLIO AND CONTRIBUTION SELECTION FOR DEFINED BENEFIT PENSION SCHEMES UNDER MEAN–VARIANCE CRITERION
- Optimal Investment for an Insurer with Multiple Risky Assets Under Mean-Variance Criterion
- MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION
- Option pricing when underlying stock returns are discontinuous
- Continuous-time mean–variance portfolio selection with value-at-risk and no-shorting constraints
- Optimal investment strategy for defined contribution pension schemes
