Dynamic mean-variance problem for defined contribution pension fund under inflation

DOI10.1360/N012018-00045zbMATH Open1499.91106OpenAlexW2920775871MaRDI QIDQ5064083FDOQ5064083

Authors: Xiaoyi Zhang, Junyi Guo 

Publication date: 21 March 2022

Published in: SCIENTIA SINICA Mathematica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1360/n012018-00045

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zbMATH Keywords

Poisson processHJB equationstochastic optimal controldefined contribution pension planmean-variance problem

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Optimal stochastic control (93E20)

Cited In (23)

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• Mean-variance portfolio selection problem with time-dependent salary for defined contribution pension scheme
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• Time-consistent investment strategy for a DC pension plan with hidden Markov regime switching
• Optimal investment strategy for the DC pension fund with Stein-Stein volatility and dynamic VaR constraint
• Optimal DC pension management under inflation risk with jump diffusion price index and cost of living process
• Markowitz's mean-variance defined contribution pension fund management under inflation: a continuous-time model
• Defined contribution pension fund scheme with HARA preference under inflation risk
• Optimal pension fund management in a jump-diffusion environment: theoretical and empirical studies
• Optimal investment of DC pension plan with minimum guarantee
• Nash equilibrium strategies for a defined contribution pension management
• Optimal asset allocation for DC pension plans under inflation
• Asset allocation under loss aversion and minimum performance constraint in a DC pension plan with inflation risk
• Portfolio choice with illiquid asset for a loss-averse pension fund investor
• Mean-variance dynamic optimality for DC pension schemes
• An optimal portfolio problem of DC pension with input-delay and jump-diffusion process
• Optimal management of defined contribution pension funds under the effect of inflation, mortality and uncertainty
• Optimal investment for a pension fund under inflation risk
• Title not available (Why is that?)

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