Optimal strategy with multiple risky assets for DC pension plans under inflation: a market completion framework

DOI10.3969/J.ISSN.1005-3085.2019.05.007zbMATH Open1449.91110OpenAlexW3093336027MaRDI QIDQ3306331FDOQ3306331

Authors: Li Yuan Wang, Zhiping Chen, Zongxin Li 

Publication date: 12 August 2020

Full work available at URL: http://jgsx-csiam.org.cn/CN/abstract/abstract48.shtml

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zbMATH Keywords

HJB equationinflation riskstochastic dynamic programmingDC pension planmarket completion

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Dynamic programming (90C39)

Cited In (6)

• Nash equilibrium strategy for a DC pension plan with state-dependent risk aversion: a multiperiod mean-variance framework
• Relative performance concern on DC pension plan under Heston model with inflation risk
• Markowitz's mean-variance defined contribution pension fund management under inflation: a continuous-time model
• Optimal asset allocation for DC pension plans under inflation
• Dynamic mean-variance problem for defined contribution pension fund under inflation
• Optimal investment for a pension fund under inflation risk

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