Portfolio optimization and intergenerational risk sharing for a collective defined contribution pension plan

DOI10.1093/IMAMAN/DPAB038MaRDI QIDQ6157439zbMATH OpenOpenAlexFDO

Authors

Publication date 11 May 2023

Published in IMA Journal of Management Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/imaman/dpab038

zbMATH Keywords

portfolio managementstochastic dynamic programmingstochastic interest rateintergenerational risk sharingcollective defined contribution pension plan

Mathematics Subject Classification ID

Game theory, economics, finance, and other social and behavioral sciences (91-XX) Operations research, mathematical programming (90-XX)

Cited in

(3)

• Multi-period portfolio optimization in a defined contribution pension plan during the decumulation phase
• Replicating intergenerational longevity risk sharing in collective defined contribution pension plans using financial markets
• Sustainability of participation in collective pension schemes: an option pricing approach

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