Optimal investment for a pension fund under inflation risk
From MaRDI portal
Publication:966427
Recommendations
- Dynamic mean-variance problem for defined contribution pension fund under inflation
- Markowitz's mean-variance defined contribution pension fund management under inflation: a continuous-time model
- Optimal investment of DC pension plan with minimum guarantee
- Optimal strategy with multiple risky assets for DC pension plans under inflation: a market completion framework
- Optimal asset allocation for DC pension plans under inflation
Cites work
- A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios
- Optimal consumption and portfolio policies when asset prices follow a diffusion process
- Optimal management and inflation protection for defined contribution pension plans
- Optimization of consumption with labor income
- Optimum consumption and portfolio rules in a continuous-time model
- Pensionmetrics: Stochastic pension plan design and value-at-risk during the accumulation phase
- Some Notes on the Dynamics and Optimal Control of Stochastic Pension Fund Models in Continuous Time
Cited in
(62)- Optimal pension fund management in a jump-diffusion environment: theoretical and empirical studies
- Asset allocation for a DC pension fund under stochastic interest rates and inflation-protected guarantee
- Optimal investment-consumption strategy under inflation in a Markovian regime-switching market
- Optimal investment of DC pension plan under short-selling constraints and portfolio insurance
- Equilibrium investment strategy for DC pension plan with inflation and stochastic income under Heston's SV model
- Asset allocation for a DC pension fund with stochastic income and mortality risk: a multi-period mean-variance framework
- Markowitz's mean-variance defined contribution pension fund management under inflation: a continuous-time model
- Robust optimal strategies of DC pension plans with stochastic volatility and stochastic income under mean-variance criteria
- Dynamic discrete-time portfolio selection for defined contribution pension funds with inflation risk
- Optimal management of defined contribution pension funds under the effect of inflation, mortality and uncertainty
- Optimal management of DC pension fund under the relative performance ratio and VaR constraint
- Optimal DC pension management under inflation risk with jump diffusion price index and cost of living process
- Asset allocation for a DC pension plan with learning about stock return predictability
- Simple explicit formula for near-optimal stochastic lifestyling
- Relative performance concern on DC pension plan under Heston model with inflation risk
- A Stackelberg game of backward stochastic differential equations with applications
- Unhedgeable inflation risk within pension schemes
- Linear-quadratic Stackelberg game for mean-field backward stochastic differential system and application
- Optimal investment with S-shaped utility and trading and value at risk constraints: an application to defined contribution pension plan
- Nash equilibrium strategies for a defined contribution pension management
- Optimal consumption with reference-dependent preferences in on-the-job search and savings
- Asset allocation under loss aversion and minimum performance constraint in a DC pension plan with inflation risk
- Optimal mean-variance asset-liability management with stochastic interest rates and inflation risks
- Optimal asset allocation for DC pension plans under inflation
- Optimal management and inflation protection for defined contribution pension plans
- Dynamic mean-variance asset allocation with stochastic interest rate and inflation rate
- Portfolio choice with illiquid asset for a loss-averse pension fund investor
- Optimal portfolios for the DC pension fund with mispricing under the HARA utility framework
- Robust retirement and life insurance with inflation risk and model ambiguity
- Optimal strategy with multiple risky assets for DC pension plans under inflation: a market completion framework
- scientific article; zbMATH DE number 1304954 (Why is no real title available?)
- Equilibrium investment strategy for defined-contribution pension schemes with generalized mean-variance criterion and mortality risk
- Optimal investment of DC pension plan with minimum guarantee
- Dynamic mean-variance problem for defined contribution pension fund under inflation
- Robust portfolio choice for a DC pension plan with inflation risk and mean-reverting risk premium under ambiguity
- Optimal asset allocation for participating contracts under the VaR and PI constraint
- Defined contribution pension fund scheme with HARA preference under inflation risk
- Optimal investment of DC pension under the inflation and loss aversion
- Mean-variance portfolio selection with inflation hedging strategy: a case of a defined contributory pension scheme
- Relationship between backward and forward linear-quadratic mean-field-game with terminal constraint and optimal asset allocation for insurers and pension funds
- A closed-form solution for the continuous-time consumption model with endogenous labor income
- Optimal DC pension investment with square-root factor processes under stochastic income and inflation risks
- Defined contribution pension planning with the return of premiums clauses and HARA preference in stochastic environments
- Optimal reinsurance-investment with loss aversion under rough Heston model
- Optimal investment of DC pension plan under loss aversion and LEL constraint
- Non-zero-sum stochastic differential games for asset-liability management with stochastic inflation and stochastic volatility
- Optimal investment strategy for the DC pension plan based on jump diffusion model and S-shaped utility
- Pension funds with longevity risk: an optimal portfolio insurance approach
- Equilibrium investment strategies for a defined contribution pension plan with random risk aversion
- Optimal income drawdown and investment with longevity basis risk
- Life-cycle planning model with inflation and time-varying consumption constraints
- Asset allocation for a DC pension plan with minimum guarantee constraint and hidden Markov regime-switching
- Robust two-player differential investment game of defined contribution pension plans under multiple risks
- Time-consistent investment strategy for a DC pension plan with the return of premiums clause and mispricing
- Money illusion in retirement savings with a minimum guarantee
- Optimal investment strategy for DC pension with mean-weighted variance-CVaR criterion under partial information
- Robust Nash equilibrium for defined contribution pension games with delay under multivariate stochastic covariance models
- Optimal asset allocation for DC pension subject to allocation and terminal wealth constraints under a remuneration scheme
- A kind of optimal investment problem under inflation and uncertain time horizon
- Time-consistent strategies for DC pension plans with the return of premiums clauses in stochastic environments
- Optimal investment-benefit allocation for a collective defined contribution plan with guaranteed replacement ratio
- The optimal mean variance problem with inflation
This page was built for publication: Optimal investment for a pension fund under inflation risk
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q966427)
