Precommitment and equilibrium investment strategies for defined contribution pension plans under a jump-diffusion model
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Publication:282291
DOI10.1016/J.INSMATHECO.2016.01.005zbMATH Open1348.91261OpenAlexW2259050232MaRDI QIDQ282291FDOQ282291
Jingyun Sun, Zhongfei Li, Yan Zeng
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
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equilibrium strategydefined contribution pension planjump-diffusion processmean-variance criterionprecommitment strategy
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Cited In (37)
- On the Distribution of Terminal Wealth under Dynamic Mean-Variance Optimal Investment Strategies
- Optimal management of DC pension fund under the relative performance ratio and VaR constraint
- Time consistent mean-variance asset allocation for a DC plan with regime switching under a jump-diffusion model
- A simple numerical solution for an optimal investment strategy for a DC pension plan in a jump diffusion model
- Pre-commitment and equilibrium investment strategies for the DC pension plan with regime switching and a return of premiums clause
- Equilibrium investment strategy for a defined contribution pension plan under stochastic interest rate and stochastic volatility
- Optimal investment of DC pension plan under short-selling constraints and portfolio insurance
- Equilibrium investment strategy for multi-period DC pension funds with stochastic interest rate and regime switching
- Equilibrium investment strategy for defined-contribution pension schemes with generalized mean-variance criterion and mortality risk
- Time-consistent investment strategy for a DC pension plan with hidden Markov regime switching
- Equilibrium and precommitment mean-variance portfolio selection problem with partially observed price index and multiple assets
- Robust portfolio choice for a defined contribution pension plan with stochastic income and interest rate
- Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility
- The surprising robustness of dynamic mean-variance portfolio optimization to model misspecification errors
- A stochastic goodwill model depending on quality level and advertising
- Optimal DC pension management under inflation risk with jump diffusion price index and cost of living process
- Optimal portfolio selection for a defined-contribution plan under two administrative fees and return of premium clauses
- Equilibrium investment strategy for a DC pension plan with learning about stock return predictability
- PRACTICAL INVESTMENT CONSEQUENCES OF THE SCALARIZATION PARAMETER FORMULATION IN DYNAMIC MEAN–VARIANCE PORTFOLIO OPTIMIZATION
- Optimal investment strategy for the DC pension plan based on jump diffusion model and S-shaped utility
- Optimal asset allocation for a DC plan with partial information under inflation and mortality risks
- Time-consistent strategies between two competitive DC pension plans with the return of premiums clauses and salary risk
- Who Are I: Time Inconsistency and Intrapersonal Conflict and Reconciliation
- Defined contribution pension planning with the return of premiums clauses and HARA preference in stochastic environments
- Equilibrium investment strategy for DC pension plan with default risk and return of premiums clauses under CEV model
- Optimal control of an objective functional with non-linearity between the conditional expectations: solutions to a class of time-inconsistent portfolio problems
- ON ROBUST MULTI-PERIOD PRE-COMMITMENT AND TIME-CONSISTENT MEAN-VARIANCE PORTFOLIO OPTIMIZATION
- Time-consistent strategy for a multi-period mean-variance asset-liability management problem with stochastic interest rate
- Dynamic discrete-time portfolio selection for defined contribution pension funds with inflation risk
- An optimal portfolio problem of DC pension with input-delay and jump-diffusion process
- Pension funds with longevity risk: an optimal portfolio insurance approach
- Optimal defined-contribution pension management with financial and mortality risks
- 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
- Robust reinsurance and investment strategies under principal-agent framework
- Pricing pension plans under jump-diffusion models for the salary
- Multi-period Telser's safety-first portfolio selection problem in a defined contribution pension plan
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