Defined contribution pension planning with a stochastic interest rate and mean-reverting returns under the hyperbolic absolute risk aversion preference

DOI10.1093/IMAMAN/DPZ009OpenAlexW2959310520WikidataQ127832541 ScholiaQ127832541MaRDI QIDQ5000452FDOQ5000452

Authors

Publication date 13 July 2021

Published in IMA Journal of Management Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/imaman/dpz009

zbMATH Keywords

optimal portfolioLegendre transform-dual theorymean-reverting returnstochastic affine interest rate

Mathematics Subject Classification ID

Game theory, economics, finance, and other social and behavioral sciences (91-XX) Operations research, mathematical programming (90-XX)

Cited in

(13)

• The optimal rate of return for defined contribution pension systems in a stochastic framework
• Optimal assets allocation and benefit adjustment strategy with longevity risk for target benefit pension plans
• Robust time-consistent strategy for the defined contribution pension plan with a minimum guarantee under ambiguity
• Stochastic investment returns and contribution rate risk in a defined benefit pension scheme
• Optimal investment strategies for asset-liability management with affine diffusion factor processes and HARA preferences
• An optimal portfolio problem of DC pension with input-delay and jump-diffusion process
• Dynamic optimal mean-variance portfolio selection with stochastic volatility and stochastic interest rate
• Pricing pension buy-outs under stochastic interest and mortality rates
• Utility maximization in a stochastic affine interest rate and CIR risk premium framework: a BSDE approach
• Defined contribution pension planning with the return of premiums clauses and HARA preference in stochastic environments
• Optimal portfolios for the DC pension fund with mispricing under the HARA utility framework
• Optimal investment and benefit payment strategies for TB pension plans with stochastic interest rate under the HARA utility
• Mean-variance efficiency of DC pension plan under stochastic interest rate and mean-reverting returns

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