Optimal long-term Tier 1 employee pension management with an application to Chinese urban areas

DOI10.1080/14697688.2022.2092329MaRDI QIDQ5039636zbMATH OpenOpenAlexFDO

Authors Zhiping Chen, Giorgio Consigli, Zhe Yan, Bing-Bing Ji

Publication date 30 September 2022

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2022.2092329

zbMATH Keywords

Chinese public pension funddynamic programminglong-term sustainabilitymultistage stochastic programmingsensitivity analysisstrategic asset allocation

Mathematics Subject Classification ID

Stochastic programming (90C15) Dynamic programming (90C39) Actuarial mathematics (91G05)

Recommendations

• Optimal chance-constrained pension fund management through dynamic stochastic control
• Stochastic programming framework for Lithuanian pension payout modelling
• A multistage risk-averse stochastic programming model for personal savings accrual: the evidence from Lithuania
• Optimal pension funding through dynamic simulations: The case of Taiwan public employees retirement system
• Optimal pension fund management under multi-period risk minimization

Cites work

• A combined stochastic programming and optimal control approach to personal finance and pensions
• A copula-based scenario tree generation algorithm for multiperiod portfolio selection problems
• A multi-objective multi-period stochastic programming model for public debt management
• A stochastic programming model for the optimal issuance of government bonds
• Asset allocation for a DC pension fund with stochastic income and mortality risk: a multi-period mean-variance framework
• Combining stochastic programming and optimal control to decompose multistage stochastic optimization problems
• Comment on “Generating Scenario Trees for Multistage Decision Problems”
• Comparison of Sampling Methods for Dynamic Stochastic Programming
• Discretized reality and spurious profits in stochastic programming models for asset/liability management
• Dynamic stochastic programming for asset-liability management
• scientific article; zbMATH DE number 1233792 (Why is no real title available?)
• Lectures on Stochastic Programming
• Multi-period mean-variance portfolio selection with Markov regime switching and uncertain time-horizon
• Optimal chance-constrained pension fund management through dynamic stochastic control
• Optimal dynamic portfolio selection: multiperiod mean-variance formulation
• Optimal investment strategies and risk measures in defined contribution pension schemes.
• Optimal pension funding through dynamic simulations: The case of Taiwan public employees retirement system
• Path-dependent scenario trees for multistage stochastic programmes in finance
• Scenario tree modeling for multistage stochastic programs
• The analytic approach for the stochastic projection of the public pension fund

Cited in

(1)

• Nonlinear differential equations and feedback control design for the urban-rural resident pension insurance in China

This page was built for publication: Optimal long-term Tier 1 employee pension management with an application to Chinese urban areas

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5039636)