Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans
From MaRDI portal
(Redirected from Publication:956531)
Recommendations
- Optimal investment strategy for defined contribution pension schemes
- Optimal pension management in a stochastic framework.
- Optimal asset allocation for DC pension plans under inflation
- Asset allocation for a DC pension fund with stochastic income and mortality risk: a multi-period mean-variance framework
- Optimal asset allocation for aggregated defined benefit pension funds with stochastic interest rates
Cites work
- scientific article; zbMATH DE number 1200330 (Why is no real title available?)
- A variational problem arising in financial economics
- An equilibrium characterization of the term structure
- Hedging in incomplete markets with HARA utility
- Optimal Growth with Intertemporally Dependent Preferences
- Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
- Optimal investment strategies in a CIR framework
- Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund
- Optimum consumption and portfolio rules in a continuous-time model
- Pensionmetrics: Stochastic pension plan design and value-at-risk during the accumulation phase
- Proper Risk Aversion
- Risk Vulnerability and the Tempering Effect of Background Risk
- Some Notes on the Dynamics and Optimal Control of Stochastic Pension Fund Models in Continuous Time
- Standard Risk Aversion
- Stochastic differential equations. An introduction with applications.
- Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
- Theory of constant proportion portfolio insurance
Cited in
(only showing first 100 items - show all)- Multi-period defined contribution pension funds investment management with regime-switching and mortality risk
- Optimal pension management in a stochastic framework.
- Age-dependent investing: optimal funding and investment strategies in defined contribution pension plans when members are rational life cycle financial planners
- Dynamic asset liability management with tolerance for limited shortfalls
- Optimal asset allocation for aggregated defined benefit pension funds with stochastic interest rates
- Time-inconsistent consumption-investment problem for a member in a defined contribution pension plan
- Lifetime asset allocation with idiosyncratic and systematic mortality risks
- Optimal dynamic asset allocation of pension fund in mortality and salary risks framework
- On ``optimal pension management in a stochastic framework with exponential utility
- Pensionmetrics 2: Stochastic pension plan design during the distribution phase.
- Optimal management of DC pension plan under loss aversion and value-at-risk constraints
- Mean-variance optimization problems for an accumulation phase in a defined benefit plan
- Optimal consumption and portfolio choice for pooled annuity funds
- Around the life cycle: deterministic consumption-investment strategies
- Fair demographic risk sharing in defined contribution pension systems
- Optimal time-consistent investment strategy for a DC pension plan with the return of premiums clauses and annuity contracts
- Optimal management of DC pension plan in a stochastic interest rate and stochastic volatility framework
- Asset allocation for a DC pension fund under stochastic interest rates and inflation-protected guarantee
- DETERMINISTIC INVESTMENT STRATEGY IN A DC PENSION PLAN WITH INFLATION RISK UNDER MEAN-VARIANCE CRITERION
- Continuous time mean variance asset allocation: a time-consistent strategy
- Pensionmetrics: Stochastic pension plan design and value-at-risk during the accumulation phase
- Equilibrium investment strategy for DC pension plan with default risk and return of premiums clauses under CEV model
- A Stackelberg game of backward stochastic differential equations with applications
- Retirement planning in individual asset-liability management
- Precommitment and equilibrium investment strategies for defined contribution pension plans under a jump-diffusion model
- Robust equilibrium control-measure policy for a DC pension plan with state-dependent risk aversion under mean-variance criterion
- Explicit solutions to an optimal portfolio choice problem with stochastic income
- Annuitization and asset allocation
- Optimal investment for a defined-contribution pension scheme under a regime switching model
- Optimal investment of DC pension plan with two VaR constraints
- A stochastic control problem with delay arising in a pension fund model
- Optimal Dynamic Control for the Defined Benefit Pension Plans with Stochastic Benefit Outgo
- Optimal management and inflation protection for defined contribution pension plans
- Equilibrium behavioral strategy for a DC pension plan with piecewise linear state-dependent risk tolerance
- Asset allocation for a DC pension fund with stochastic income and mortality risk: a multi-period mean-variance framework
- Constant proportion portfolio insurance in defined contribution pension plan management
- Optimal contributions in a defined benefit pension scheme with stochastic new entrants
- Robust portfolio choice for a DC pension plan with inflation risk and mean-reverting risk premium under ambiguity
- scientific article; zbMATH DE number 1462623 (Why is no real title available?)
- Optimal dynamic asset allocation strategy for ELA scheme of DC pension plan during the distribution phase
- On the sub-optimality cost of immediate annuitization in DC pension funds
- Optimal Asset Allocation for Retirement Saving: Deterministic Vs. Time Consistent Adaptive Strategies
- Funding and investment decisions in a stochastic defined benefit pension plan with regime switching
- Optimal asset allocation for DC pension plans under inflation
- 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
- Comparison of mean variance like strategies for optimal asset allocation problems
- Lifetime investment and consumption using a defined-contribution pension scheme
- A benchmarking approach to optimal asset allocation for insurers and pension funds
- Dynamic asset allocation when bequests are luxury goods
- On efficiency of mean-variance based portfolio selection in defined contribution pension schemes
- Rule-based strategies for dynamic life cycle investment
- Dynamic preferences for popular investment strategies in pension funds
- Robust optimal investment strategy of DC pension plans with stochastic salary and a return of premiums clause
- Nash equilibrium strategies for a defined contribution pension management
- Optimal investment for the defined-contribution pension with stochastic salary under a CEV model
- Management of portfolio depletion risk through optimal life cycle asset allocation
- Numerical solution of the Hamilton-Jacobi-Bellman formulation for continuous time mean variance asset allocation
- scientific article; zbMATH DE number 1594522 (Why is no real title available?)
- Optimal investment of DC pension plan under short-selling constraints and portfolio insurance
- Life-cycle asset allocation with annuity markets
- Funding and investment decisions in a stochastic defined benefit pension plan with several levels of labor-income earnings
- Markowitz's mean-variance defined contribution pension fund management under inflation: a continuous-time model
- Optimal investment strategy for the DC plan with the return of premiums clauses in a mean-variance framework
- Equilibrium investment strategy for defined-contribution pension schemes with generalized mean-variance criterion and mortality risk
- Optimal investment strategy for defined contribution pension schemes
- 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 under discrete-time trading
- A data-driven neural network approach to optimal asset allocation for target based defined contribution pension plans
- Mean-variance efficiency of DC pension plan under stochastic interest rate and mean-reverting returns
- Pension funds with a minimum guarantee: a stochastic control approach
- Optimal investment strategies for DC pension with stochastic salary under the affine interest rate model
- Robust portfolio choice for a defined contribution pension plan with stochastic income and interest rate
- Optimal investment in defined contribution pension schemes with forward utility preferences
- Portfolio insurance strategies for a target annuitization fund
- Reactive investment strategies
- Valuation of mortgage interest deductibility under uncertainty: an option pricing approach
- Optimal asset allocation for outperforming a stochastic benchmark target
- Robust optimal investment strategy for a DC pension plan in the market with mispricing and constant elasticity of variance
- Optimal DC pension investment with square-root factor processes under stochastic income and inflation risks
- Optimal investment for a retirement plan with deferred annuities
- Optimal investment, consumption, and work effort strategies with stochastic salary under the HLSV model
- Mean-variance target-based optimisation for defined contribution pension schemes in a stochastic framework
- Performance enhancements for defined benefit pension plans
- Mean-variance efficient large portfolios: a simple machine learning heuristic technique based on the two-fund separation theorem
- A combined stochastic programming and optimal control approach to personal finance and pensions
- Optimal mix between pay-as-you-go and funding for DC pension schemes in an overlapping generations model
- Life cycle asset allocation in the presence of housing and tax-deferred investing
- Simple explicit formula for near-optimal stochastic lifestyling
- Relationship between backward and forward linear-quadratic mean-field-game with terminal constraint and optimal asset allocation for insurers and pension funds
- Optimal investment strategy for a robust DC pension plan under the Heston model
- Optimal Life-Cycle Portfolios for Heterogeneous Workers*
- Heterogeneity-adjusted management of pension funds using adaptive representative agents
- Continuous-time mean-variance optimization for defined contribution pension funds with regime-switching
- An Evolutionary Approach to Asset Allocation in Defined Contribution Pension Schemes
- Optimal investment strategy for a DC pension plan with mispricing under the Heston model
- On the investment strategies in occupational pension plans
- A general optimization framework for the annuity contracts with multiscale stochastic volatility
- Linear-quadratic Stackelberg game for mean-field backward stochastic differential system and application
- Optimal investment management for a defined contribution pension fund under imperfect information
This page was built for publication: Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q956531)
