-robust optimal investment strategy for target benefit pension plans under default risk
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\(\alpha\)-robust optimal investment strategy for target benefit pension plans under default risk
\(\alpha\)-robust optimal investment strategy for target benefit pension plans under default risk
Recommendations
- Robust optimal investment and benefit payment adjustment strategy for target benefit pension plans under default risk
- Optimal strategies for target benefit pension plans with longevity risk in ambiguous environments
- Alpha-robust mean-variance investment strategy for DC pension plan with uncertainty about jump-diffusion risk
- Equilibrium investment strategy for DC pension plan with default risk and return of premiums clauses under CEV model
Cites work
- A Smooth Model of Decision Making under Ambiguity
- Alpha-robust mean-variance investment strategy for DC pension plan with uncertainty about jump-diffusion risk
- Alpha-robust mean-variance reinsurance-investment strategy
- Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility
- Asset allocation under loss aversion and minimum performance constraint in a DC pension plan with inflation risk
- Data-driven robust mean-CVaR portfolio selection under distribution ambiguity
- Differentiating ambiguity and ambiguity attitude
- Equilibrium investment strategy for DC pension plan with default risk and return of premiums clauses under CEV model
- Equilibrium strategies for alpha-maxmin expected utility maximization
- Optimal DB-PAYGO pension management towards a habitual contribution rate
- Optimal investment and benefit payment strategy under loss aversion for target benefit pension plans
- Optimal investment strategies and intergenerational risk sharing for target benefit pension plans
- Optimal investment strategies and risk-sharing arrangements for a hybrid pension plan
- Optimal management of DC pension plan under loss aversion and value-at-risk constraints
- Optimal portfolios for DC pension plans under a CEV model
- Portfolio optimization with a defaultable security
- Preference and belief: ambibiguity and competence in choice under uncertainty
- Probabilistic Sophistication and Multiple Priors
- Robust optimal investment and benefit payment adjustment strategy for target benefit pension plans under default risk
- Robust optimal investment strategy for an AAM of DC pension plans with stochastic interest rate and stochastic volatility
Cited in
(5)- Optimal investment and benefit adjustment problem for a target benefit pension plan with Cobb-Douglas utility and Epstein-Zin recursive utility
- Alpha-robust mean-variance investment strategy for DC pension plan with uncertainty about jump-diffusion risk
- Robust time-consistent strategy for the defined contribution pension plan with a minimum guarantee under ambiguity
- Optimal strategies for target benefit pension plans with longevity risk in ambiguous environments
- -robust optimal investment strategy under inflation
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