Time-consistent investment strategy for DC pension plan with stochastic salary under CEV model
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defined contribution pension planmean-variance criterionconstant elasticity of variance modelstochastic salarytime-consistency investment strategy
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Cites work
- Asset-liability management under benchmark and mean-variance criteria in a jump diffusion market
- Continuous time mean variance asset allocation: a time-consistent strategy
- Continuous-time mean-variance portfolio selection: a stochastic LQ framework
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- Nash equilibrium strategies for a defined contribution pension management
- Optimal asset allocation for DC pension plans under inflation
- Optimal assets allocation and benefit outgo policies of DC pension plan with compulsory conversion claims
- Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV model
- Optimal dividend strategies with time-inconsistent preferences
- Optimal dynamic asset allocation strategy for ELA scheme of DC pension plan during the distribution phase
- Optimal dynamic portfolio selection: multiperiod mean-variance formulation
- Optimal investment for the defined-contribution pension with stochastic salary under a CEV model
- Optimal investment strategies and risk measures in defined contribution pension schemes.
- Optimal investment strategies in the presence of a minimum guarantee.
- Optimal investment strategy for annuity contracts under the constant elasticity of variance (CEV) model
- Optimal investment strategy for the DC plan with the return of premiums clauses in a mean-variance framework
- Optimal investment-reinsurance strategy for mean-variance insurers with square-root factor process
- Optimal investment-reinsurance with delay for mean-variance insurers: a maximum principle approach
- Optimal management of DC pension plan in a stochastic interest rate and stochastic volatility framework
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- Optimal portfolios for DC pension plans under a CEV model
- Optimal time-consistent investment and reinsurance policies for mean-variance insurers
- Optimal time-consistent investment and reinsurance strategies for insurers under Heston's SV model
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Cited in
(15)- Optimal investment for the defined-contribution pension with stochastic salary under a CEV model
- 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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