Optimal investment in defined contribution pension schemes with forward utility preferences
From MaRDI portal
(Redirected from Publication:6152716)
Abstract: Optimal investment strategies of an individual worker during the accumulation phase in the defined contribution pension scheme have been well studied in the literature. Most of them adopted the classical backward model and approach, but any pre-specifications of retirement time, preferences, and market environment models do not often hold in such a prolonged horizon of the pension scheme. Pre-commitment to ensure the time-consistency of an optimal investment strategy derived from the backward model and approach leads the supposedly optimal strategy to be sub-optimal in the actual realizations. This paper revisits the optimal investment problem for the worker during the accumulation phase in the defined contribution pension scheme, via the forward preferences which resolve the pre-specification issues in the backward model and approach. Stochastic partial differential equation representation for the worker's forward preferences is illustrated. This paper constructs two of the forward utility preferences and solves the corresponding optimal investment strategies, in the cases of initial power and exponential utility functions.
Recommendations
- Optimal investment strategy for defined contribution pension schemes
- Optimal investment strategy for occupational pension based on exponential utility function
- Target preference and optimal investment decision for occupational pension schemes
- Optimal investment for the defined-contribution pension with stochastic salary under a CEV model
- Time-inconsistent consumption-investment problem for a member in a defined contribution pension plan
Cites work
- A class of homothetic forward investment performance processes with non-zero volatility
- A dual characterization of self-generation and exponential forward performances
- An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior
- An exact connection between two solvable SDEs and a nonlinear utility stochastic PDE
- Asset allocation for a DC pension fund with stochastic income and mortality risk: a multi-period mean-variance framework
- Asset allocation under loss aversion and minimum performance constraint in a DC pension plan with inflation risk
- Asymptotic analysis of forward performance processes in incomplete markets and their ill-posed HJB equations
- Black's inverse investment problem and forward criteria with consumption
- Competition in fund management and forward relative performance criteria
- Consistent utility of investment and consumption: a forward/backward SPDE viewpoint
- Diffusion approximations for a risk process with the possibility of borrowing and investment
- Dynamic preferences for popular investment strategies in pension funds
- Dynamically consistent investment under model uncertainty: the robust forward criteria
- Evolution of the Arrow-Pratt measure of risk-tolerance for predictable forward utility processes
- Forward exponential indifference valuation in an incomplete binomial model
- Forward exponential performances: pricing and optimal risk sharing
- Forward indifference valuation of American options
- Forward rank‐dependent performance criteria: Time‐consistent investment under probability distortion
- Forward utility and market adjustments in relative investment-consumption games of many players
- scientific article; zbMATH DE number 5499205 (Why is no real title available?)
- INITIAL INVESTMENT CHOICE AND OPTIMAL FUTURE ALLOCATIONS UNDER TIME-MONOTONE PERFORMANCE CRITERIA
- Maturity-Independent Risk Measures
- Mean field and n-agent games for optimal investment under relative performance criteria
- Mean-variance efficiency of DC pension plan under stochastic interest rate and mean-reverting returns
- On absolute ruin minimization under a diffusion approximation model
- Optimal asset allocation for DC pension plans under inflation
- Optimal Asset Allocation under Forward Exponential Performance Criteria
- Optimal investment, stochastic labor income and retirement
- Optimal management of DC pension plan in a stochastic interest rate and stochastic volatility framework
- Optimal management of DC pension plan under loss aversion and value-at-risk constraints
- Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund
- Portfolio choice under dynamic investment performance criteria
- Portfolio choice under space-time monotone performance criteria
- Predictable forward performance processes: the binomial case
- Pricing and hedging equity-linked life insurance contracts beyond the classical paradigm: the principle of equivalent forward preferences
- Rate of convergence of the probability of ruin in the Cramér-Lundberg model to its diffusion approximation
- Representation of Homothetic Forward Performance Processes in Stochastic Factor Models via Ergodic and Infinite Horizon BSDE
- Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans
- Stochastic Partial Differential Equations and Portfolio Choice
- Theory of constant proportion portfolio insurance
- Theory of Random Sets
Cited in
(4)- Optimal investment and consumption with forward preferences and uncertain parameters
- Deep learning scheme for forward utilities using ergodic BSDEs
- Robust forward investment and consumption under drift and volatility uncertainties: a randomization approach
- Optimal investment-withdrawal strategy for variable annuities under a performance fee structure
This page was built for publication: Optimal investment in defined contribution pension schemes with forward utility preferences
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6152716)
