Time-consistent investment strategy for DC pension plan with stochastic salary under CEV model
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Publication:328079
DOI10.1007/S11424-016-3171-3zbMATH Open1414.91213OpenAlexW2324161544MaRDI QIDQ328079FDOQ328079
Authors: Danping Li, Hui Zhao, Ximin Rong 
Publication date: 20 October 2016
Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11424-016-3171-3
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defined contribution pension planmean-variance criterionconstant elasticity of variance modelstochastic salarytime-consistency investment strategy
Cites Work
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Cited In (14)
- Time consistent pension funding in a defined benefit pension plan with non-constant discounting
- Time consistent mean-variance asset allocation for a DC plan with regime switching under 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 DC pension plan with inflation and stochastic income under Heston's SV model
- Optimal investment strategy for a DC pension plan with mispricing under the Heston model
- Equilibrium investment strategy for multi-period DC pension funds with stochastic interest rate and regime switching
- Time-consistent investment strategy for a DC pension plan with hidden Markov regime switching
- Time-consistent investment strategies for a DC pension member with stochastic interest rate and stochastic income
- Optimal portfolios for DC pension plans under a CEV model
- The constant elasticity of variance (CEV) model and the Legendre transform-dual solution for annuity contracts
- Optimal investment strategy for a family with a random household expenditure under the CEV model
- Time-consistent strategies between two competitive DC pension plans with the return of premiums clauses and salary risk
- Equilibrium investment strategy for DC pension plan with default risk and return of premiums clauses under CEV model
- Robust equilibrium strategy for DC pension plan with the return of premiums clauses in a jump-diffusion model
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