Optimal design of the guarantee for defined contribution funds

Portfolio theory (91G10) Stochastic programming (90C15) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)

Cites Work

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Optimization of consumption with labor income
Optimal investment strategies in a CIR framework

Cited In (36)

Management strategies for a defined contribution pension fund under the hybrid stochastic volatility model
Optimal management of DC pension fund under the relative performance ratio and VaR constraint
A stochastic control problem with delay arising in a pension fund model
Optimal management and inflation protection for defined contribution pension plans
Equilibrium investment strategy for a defined contribution pension plan under stochastic interest rate and stochastic volatility
Title not available (Why is that?)
CONTINUOUS-TIME MEAN–VARIANCE OPTIMIZATION FOR DEFINED CONTRIBUTION PENSION FUNDS WITH REGIME-SWITCHING
An explicit option-based strategy that outperforms dollar cost averaging
Fair demographic risk sharing in defined contribution pension systems
Stochastic optimal control of DC pension funds
Optimal portfolios for DC pension plans under a CEV model
Downside risk in multiperiod tracking error models
Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility
Robust time-consistent strategy for the defined contribution pension plan with a minimum guarantee under ambiguity
Pension funds with a minimum guarantee: a stochastic control approach
Non-parametric news impact curve: a variational approach
Optimal investment strategies with a minimum performance constraint
Optimal investment strategy for the DC pension plan based on jump diffusion model and S-shaped utility
Markowitz's mean-variance defined contribution pension fund management under inflation: a continuous-time model
Optimal investment strategy for annuity contracts under the constant elasticity of variance (CEV) model
Time-consistent strategies between two competitive DC pension plans with the return of premiums clauses and salary risk
Pension funds as institutions for intertemporal risk transfer
A general optimization framework for the annuity contracts with multiscale stochastic volatility
Asset allocation under loss aversion and minimum performance constraint in a DC pension plan with inflation risk
Optimal management of DC pension plan in a stochastic interest rate and stochastic volatility framework
Optimal dynamic asset allocation of pension fund in mortality and salary risks framework
Equilibrium investment strategy for DC pension plan with default risk and return of premiums clauses under CEV model
Multi-period defined contribution pension funds investment management with regime-switching and mortality risk
Asset allocation for a DC pension fund under stochastic interest rates and inflation-protected guarantee
Portfolio optimization for pension plans under hybrid stochastic and local volatility.
Pension funds with longevity risk: an optimal portfolio insurance approach
Optimal management of defined contribution pension funds under the effect of inflation, mortality and uncertainty
Management of a pension fund under mortality and financial risks
An extended CEV model and the Legendre transform-dual-asymptotic solutions for annuity contracts
Optimal pension fund management under risk and uncertainty: the case study of Poland
Communication and personal selection of pension saver's financial risk

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