Stochastic optimal control of DC pension funds
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- scientific article; zbMATH DE number 1869272 (Why is no real title available?)
- scientific article; zbMATH DE number 2110605 (Why is no real title available?)
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Cited in
(58)- Stochastic optimal control of annuity contracts.
- Optimal pension management in a stochastic framework.
- Robust optimal investment strategy for an AAM of DC pension plans with stochastic interest rate and stochastic volatility
- Optimal pension fund management in a jump-diffusion environment: theoretical and empirical studies
- Determining equivalent administrative charges for defined contribution pension plans under CEV model
- Portfolio selection with liability and affine interest rate in the HARA utility framework
- A solvable time-inconsistent principal-agent problem
- Optimal investment management for a defined contribution pension fund under imperfect information
- Equilibrium investment strategy for DC pension plan with inflation and stochastic income under Heston's SV model
- Optimal investment strategies for DC pension with stochastic salary under the affine interest rate model
- Robust equilibrium control-measure policy for a DC pension plan with state-dependent risk aversion under mean-variance criterion
- An investment and consumption problem with CIR interest rate and stochastic volatility
- Optimal investment strategy for the DC plan with the return of premiums clauses in a mean-variance framework
- Optimal portfolio selection for a defined-contribution plan under two administrative fees and return of premium clauses
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- Optimal investment for the defined-contribution pension with stochastic salary under a CEV model
- Optimal asset allocation for DC pension plans under inflation
- Optimal management of DC pension plan in a stochastic interest rate and stochastic volatility framework
- Income drawdown option with minimum guarantee
- Dynamic mean-variance asset allocation with stochastic interest rate and inflation rate
- A combined stochastic programming and optimal control approach to personal finance and pensions
- Time-consistent investment strategies for a DC pension member with stochastic interest rate and stochastic income
- Optimal portfolios for the DC pension fund with mispricing under the HARA utility framework
- Equilibrium investment strategy for multi-period DC pension funds with stochastic interest rate and regime switching
- Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model
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- scientific article; zbMATH DE number 4174200 (Why is no real title available?)
- Multi-period mean-variance portfolio selection with stochastic interest rate and uncontrollable liability
- Optimal Dynamic Control for the Defined Benefit Pension Plans with Stochastic Benefit Outgo
- Optimal management of DC pension plan under loss aversion and value-at-risk constraints
- A pension fund in the accumulation phase: a stochastic control approach
- Some Notes on the Dynamics and Optimal Control of Stochastic Pension Fund Models in Continuous Time
- Optimal investment for a defined-contribution pension scheme under a regime switching model
- Optimal investment strategy for a DC pension plan with mispricing under the Heston model
- Robust portfolio choice for a defined contribution pension plan with stochastic income and interest rate
- Continuous-time mean-variance optimization for defined contribution pension funds with regime-switching
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- Optimal Control of DC Pension Plan Management under Two Incentive Schemes
- Inter‐temporal mutual‐fund management
- Hedging longevity risk in defined contribution pension schemes
- Robust optimal investment strategy for a DC pension plan in the market with mispricing and constant elasticity of variance
- Optimal investment strategy for a robust DC pension plan under the Heston model
- A benchmarking approach to optimal asset allocation for insurers and pension funds
- Optimal investment and benefit payment strategies for TB pension plans with stochastic interest rate under the HARA utility
- Optimal additional voluntary contribution in DC pension schemes to manage inadequacy risk
- Optimal investment strategies for DC pension plan with administrative fees and return of premiums clauses under the Heston model
- Optimal income drawdown and investment with longevity basis risk
- Asset allocation for a DC pension plan with minimum guarantee constraint and hidden Markov regime-switching
- Exact and explicit analytical solutions for optimal pension management with general utilities
- Optimal investment and benefit adjustment problem for a hybrid pension plan with longevity trend under the CEV model
- Legendre transform-dual solution for investment and consumption problem under the Vasicek model
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