Precommitment and equilibrium investment strategies for defined contribution pension plans under a jump-diffusion model
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Cites work
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Cited in
(38)- 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
- 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
- Pre-commitment and equilibrium investment strategies for the DC pension plan with regime switching and a return of premiums clause
- Equilibrium investment strategy for DC pension plan with default risk and return of premiums clauses under CEV model
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- Multi-period Telser's safety-first portfolio selection problem in a defined contribution pension plan
- Mean-variance dynamic optimality for DC pension schemes
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- Practical investment consequences of the scalarization parameter formulation in dynamic mean-variance portfolio optimization
- Defined contribution pension planning with the return of premiums clauses and HARA preference in stochastic environments
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- Time consistent mean-variance asset allocation for a DC plan with regime switching under a jump-diffusion model
- Pension funds with longevity risk: an optimal portfolio insurance approach
- Optimal defined-contribution pension management with financial and mortality risks
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