Defined contribution pension fund scheme with HARA preference under inflation risk

DOI10.15960/J.CNKI.ISSN.1007-6093.2016.04.005zbMATH Open1374.91033MaRDI QIDQ5282672FDOQ5282672

Authors: Hao Chang, Chunfeng Wang, Zhen-Ming Fang 

Publication date: 14 July 2017

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zbMATH Keywords

HARA utilityinflation riskoptimal investment strategyLegendre transform-dual theoryDC pension fund scheme

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Portfolio theory (91G10)

Cited In (4)

• The real risk in pension forecasting
• Unhedgeable inflation risk within pension schemes
• Defined contribution pension planning with the return of premiums clauses and HARA preference in stochastic environments
• Optimal management of defined contribution pension funds under the effect of inflation, mortality and uncertainty

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