Equilibrium investment strategy for defined-contribution pension schemes with generalized mean-variance criterion and mortality risk
From MaRDI portal
Publication:495509
DOI10.1016/j.insmatheco.2015.07.007zbMath1348.91262OpenAlexW940111555MaRDI QIDQ495509
Publication date: 14 September 2015
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2015.07.007
mortality risktime-inconsistencydefined-contribution pension schemeequilibrium investment strategygeneralized mean-variance criterion
Related Items
Optimal hedging with basis risk under mean-variance criterion, Asset allocation under loss aversion and minimum performance constraint in a DC pension plan with inflation risk, Precommitment and equilibrium investment strategies for defined contribution pension plans under a jump-diffusion model, Multi-period defined contribution pension funds investment management with regime-switching and mortality risk, Pre-commitment vs. time-consistent strategies for the generalized multi-period portfolio optimization with stochastic cash flows, Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility, Time-consistent strategies for multi-period mean-variance portfolio optimization with the serially correlated returns, Optimal investment strategy for a DC pension plan with mispricing under the Heston model, Pre-commitment and equilibrium investment strategies for the DC pension plan with regime switching and a return of premiums clause, Time-consistent investment strategies for a DC pension member with stochastic interest rate and stochastic income, Constrained mean-variance portfolio optimization for jump-diffusion process under partial information, Time-consistent investment strategy for a DC pension plan with hidden Markov regime switching, Multi-period portfolio optimization in a defined contribution pension plan during the decumulation phase, Multi-period Telser's safety-first portfolio selection problem in a defined contribution pension plan, Equilibrium strategy for a multi-period weighted mean-variance portfolio selection in a Markov regime-switching market with uncertain time-horizon and a stochastic cash flow, Optimal portfolios for the DC pension fund with mispricing under the HARA utility framework, Equilibrium investment strategy for multi-period DC pension funds with stochastic interest rate and regime switching, Unnamed Item, Optimal investment-reinsurance strategies with state dependent risk aversion and VaR constraints in correlated markets, Optimal investment of DC pension plan under short-selling constraints and portfolio insurance, Equilibrium investment strategy for a DC pension plan with learning about stock return predictability, Time-consistent multiperiod mean semivariance portfolio selection with the real constraints, Optimal investment management for a defined contribution pension fund under imperfect information, Equilibrium investment strategy for DC pension plan with default risk and return of premiums clauses under CEV model, Multi-period optimal investment choice post-retirement with inter-temporal restrictions in a defined contribution pension plan, Equilibrium investment strategy for a defined contribution pension plan under stochastic interest rate and stochastic volatility, Chance-constrained multiperiod mean absolute deviation uncertain portfolio selection, Equilibrium reinsurance-investment strategies with partial information and common shock dependence, Multiperiod mean absolute deviation uncertain portfolio selection with real constraints, On the Distribution of Terminal Wealth under Dynamic Mean-Variance Optimal Investment Strategies, Management of Portfolio Depletion Risk through Optimal Life Cycle Asset Allocation
Cites Work
- Unnamed Item
- Unnamed Item
- Target-driven investing: optimal investment strategies in defined contribution pension plans under loss aversion
- A theory of Markovian time-inconsistent stochastic control in discrete time
- Pension funds with a minimum guarantee: a stochastic control approach
- Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans
- Optimal investment for a pension fund under inflation risk
- A generalized multi-period mean-variance portfolio optimization with Markov switching parameters
- A mean-field formulation for optimal multi-period mean-variance portfolio selection with an uncertain exit time
- Asset allocation for a DC pension fund with stochastic income and mortality risk: a multi-period mean-variance framework
- Optimal investment strategy for the DC plan with the return of premiums clauses in a mean-variance framework
- Mean-variance efficiency of DC pension plan under stochastic interest rate and mean-reverting returns
- Time-consistent strategies for a multiperiod mean-variance portfolio selection problem
- Optimal management and inflation protection for defined contribution pension plans
- On efficiency of mean–variance based portfolio selection in defined contribution pension schemes
- Time-Consistent Portfolio Selection under Short-Selling Prohibition: From Discrete to Continuous Setting
- Multi-Period Mean-Variance Portfolio Optimization With High-Order Coupled Asset Dynamics
- Unified Framework of Mean-Field Formulations for Optimal Multi-Period Mean-Variance Portfolio Selection
- Risk Control Over Bankruptcy in Dynamic Portfolio Selection: A Generalized Mean-Variance Formulation
- MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION
