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

DOI10.3969/J.ISSN.1005-3085.2019.05.007MaRDI QIDQ3306331zbMATHOpenAlexFDO

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

zbMATH Keywords

HJB equationinflation riskstochastic dynamic programmingDC pension planmarket completion

Mathematics Subject Classification ID

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

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Cited in

(6)

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

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