Optimal management of DB pension fund under both underfunded and overfunded cases
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Publication:6587494
Recommendations
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Cites work
- A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios
- Advances in prospect theory: cumulative representation of uncertainty
- Alpha-robust mean-variance investment strategy for DC pension plan with uncertainty about jump-diffusion risk
- 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
- Constant proportion portfolio insurance in defined contribution pension plan management
- Lifetime investment and consumption using a defined-contribution pension scheme
- Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
- Optimal asset allocation for aggregated defined benefit pension funds with stochastic interest rates
- Optimal consumption and portfolio policies when asset prices follow a diffusion process
- Optimal investment decisions with a liability: the case of defined benefit pension plans
- Optimal investment with S-shaped utility and trading and value at risk constraints: an application to defined contribution pension plan
- Optimal management of DC pension fund under the relative performance ratio and VaR constraint
- 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 optimization in a defined benefit pension plan where the risky assets are processes with constant elasticity of variance
- Pricing interest-rate-derivative securities
- Prospect Theory: An Analysis of Decision under Risk
- Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans
- Stochastic pension fund modelling
- Stochastic pension funding when the benefit and the risky asset follow jump diffusion processes
- Target-driven investing: optimal investment strategies in defined contribution pension plans under loss aversion
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