Robust portfolio choice for a defined contribution pension plan with stochastic income and interest rate
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Publication:5154061
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Cites work
- An equilibrium characterization of the term structure
- Nash equilibrium strategies for a defined contribution pension management
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- Optimal asset allocation for DC pension plans under inflation
- Optimal investment and reinsurance of an insurer with model uncertainty
- Optimal investment strategy for defined contribution pension schemes
- Optimal investment strategy for the DC plan with the return of premiums clauses in a mean-variance framework
- Optimal management of DC pension plan in a stochastic interest rate and stochastic volatility framework
- Optimal portfolios with stochastic interest rates and defaultable assets.
- Portfolio management with stochastic interest rates and inflation ambiguity
- Precommitment and equilibrium investment strategies for defined contribution pension plans under a jump-diffusion model
- Risk, ambiguity and the Savage axioms
- Robust consumption and portfolio choice for time varying investment opportunities
- Robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps
- Robust investment-reinsurance optimization with multiscale stochastic volatility
- Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model
- Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model
- Robust portfolio choice with stochastic interest rates
- Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium
- Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans
- Stochastic optimal control of annuity contracts.
- Stochastic optimal control of DC pension funds
- The costs of suboptimal dynamic asset allocation: general results and applications to interest rate risk, stock volatility risk, and growth/value tilts
- Time-consistent investment strategy under partial information
Cited in
(20)- Robust optimal investment strategy for an AAM of DC pension plans with stochastic interest rate and stochastic volatility
- Time consistent mean-variance asset allocation for a DC plan with regime switching under a jump-diffusion model
- Optimal pension fund management under risk and uncertainty: the case study of Poland
- Robust equilibrium strategies in a defined benefit pension plan game
- Robust optimal investment and benefit payment adjustment strategy for target benefit pension plans under default risk
- Optimal portfolios for the DC pension fund with mispricing under the HARA utility framework
- A note on the worst case approach for a market with a stochastic interest rate
- scientific article; zbMATH DE number 6962096 (Why is no real title available?)
- Robust optimal investment strategy of DC pension plans with stochastic salary and a return of premiums clause
- Optimal asset allocation for a DC plan with partial information under inflation and mortality risks
- Robust optimal strategies for an insurer under generalized mean-variance premium principle with defaultable bond
- Optimal investment of DC pension plan with two VaR constraints
- Robust portfolio choice for a DC pension plan with inflation risk and mean-reverting risk premium under ambiguity
- Robust equilibrium strategy for DC pension plan with the return of premiums clauses in a jump-diffusion model
- Robust time-consistent strategy for the defined contribution pension plan with a minimum guarantee under ambiguity
- Robust optimal investment strategy for a DC pension plan in the market with mispricing and constant elasticity of variance
- Optimal investment of DC pension plan under incentive schemes and loss aversion
- Robust non-zero-sum stochastic differential game of two insurers with common shock and CDS transaction
- Optimal investment of DC pension plan with incentive scheme and a combined VaR-ES constraint
- Robust mean-variance precommitment strategies of DC pension plans with ambiguity under stochastic interest rate and stochastic volatility
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