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Optimal pension management in a stochastic framework

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Cited by:

  1. Calisto Guambe & Rodwell Kufakunesu & Gusti Van Zyl & Conrad Beyers, 2018. "Optimal asset allocation for a DC plan with partial information under inflation and mortality risks," Papers 1808.06337, arXiv.org, revised Aug 2018.
  2. Zhiping Chen & Liyuan Wang & Ping Chen & Haixiang Yao, 2019. "Continuous-Time Mean–Variance Optimization For Defined Contribution Pension Funds With Regime-Switching," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(06), pages 1-33, September.
  3. Xiao Xu, 2020. "The optimal investment strategy of a DC pension plan under deposit loan spread and the O-U process," Papers 2005.10661, arXiv.org.
  4. Josa-Fombellida, Ricardo & Rincón-Zapatero, Juan Pablo, 2010. "Optimal asset allocation for aggregated defined benefit pension funds with stochastic interest rates," European Journal of Operational Research, Elsevier, vol. 201(1), pages 211-221, February.
  5. Paolo Battocchio & Francesco Menoncin & Olivier Scaillet, 2007. "Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases," Annals of Operations Research, Springer, vol. 152(1), pages 141-165, July.
  6. Wang, Suxin & Lu, Yi & Sanders, Barbara, 2018. "Optimal investment strategies and intergenerational risk sharing for target benefit pension plans," Insurance: Mathematics and Economics, Elsevier, vol. 80(C), pages 1-14.
  7. Hong‐Chih Huang, 2010. "Optimal Multiperiod Asset Allocation: Matching Assets to Liabilities in a Discrete Model," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 77(2), pages 451-472, June.
  8. Yao, Haixiang & Yang, Zhou & Chen, Ping, 2013. "Markowitz’s mean–variance defined contribution pension fund management under inflation: A continuous-time model," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 851-863.
  9. Huiling Wu, 2016. "Optimal Investment-Consumption Strategy under Inflation in a Markovian Regime-Switching Market," Discrete Dynamics in Nature and Society, Hindawi, vol. 2016, pages 1-17, July.
  10. Elena Vigna, 2009. "Mean-variance inefficiency of CRRA and CARA utility functions for portfolio selection in defined contribution pension schemes," Carlo Alberto Notebooks 108, Collegio Carlo Alberto, revised 2009.
  11. Alessandro Milazzo & Elena Vigna, 2018. "The Italian Pension Gap: A Stochastic Optimal Control Approach," Risks, MDPI, vol. 6(2), pages 1-20, April.
  12. Menoncin, Francesco, 2005. "Cyclical risk exposure of pension funds: A theoretical framework," Insurance: Mathematics and Economics, Elsevier, vol. 36(3), pages 469-484, June.
  13. Yang Wang & Xiao Xu & Jizhou Zhang, 2021. "Optimal Investment Strategy for DC Pension Plan with Stochastic Income and Inflation Risk under the Ornstein–Uhlenbeck Model," Mathematics, MDPI, vol. 9(15), pages 1-15, July.
  14. Le Courtois, Olivier & Menoncin, Francesco, 2015. "Portfolio optimisation with jumps: Illustration with a pension accumulation scheme," Journal of Banking & Finance, Elsevier, vol. 60(C), pages 127-137.
  15. Han, Nan-Wei & Hung, Mao-Wei, 2015. "The investment management for a downside-protected equity-linked annuity under interest rate risk," Finance Research Letters, Elsevier, vol. 13(C), pages 113-124.
  16. Chavez-Bedoya, Luis & Castaneda, Ranu, 2021. "A benchmarking approach to track and compare administrative charges on flow and balance in individual account pension systems," Insurance: Mathematics and Economics, Elsevier, vol. 97(C), pages 7-23.
  17. Pengyu Wei & Charles Yang, 2023. "Optimal investment for defined-contribution pension plans under money illusion," Review of Quantitative Finance and Accounting, Springer, vol. 61(2), pages 729-753, August.
  18. Han, Nan-wei & Hung, Mao-wei, 2012. "Optimal asset allocation for DC pension plans under inflation," Insurance: Mathematics and Economics, Elsevier, vol. 51(1), pages 172-181.
  19. Iqbal Owadally & Steven Haberman & Denise Gómez Hernández, 2013. "A Savings Plan With Targeted Contributions," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(4), pages 975-1000, December.
  20. Ankush Agarwal & Christian-Oliver Ewald & Yongjie Wang, 2023. "Hedging longevity risk in defined contribution pension schemes," Computational Management Science, Springer, vol. 20(1), pages 1-34, December.
  21. Menoncin, Francesco & Vigna, Elena, 2017. "Mean–variance target-based optimisation for defined contribution pension schemes in a stochastic framework," Insurance: Mathematics and Economics, Elsevier, vol. 76(C), pages 172-184.
  22. Marina Di Giacinto & Elena Vigna, 2012. "On the sub-optimality cost of immediate annuitization in DC pension funds," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 20(3), pages 497-527, September.
  23. Guohui Guan & Zongxia Liang & Yi xia, 2021. "Optimal management of DC pension fund under relative performance ratio and VaR constraint," Papers 2103.04352, arXiv.org.
  24. Ma, Qing-Ping, 2011. "On "optimal pension management in a stochastic framework" with exponential utility," Insurance: Mathematics and Economics, Elsevier, vol. 49(1), pages 61-69, July.
  25. Alessandro Milazzo & Elena Vigna, 2018. "“The Italian Pension Gap: a Stochastic Optimal Control Approach"," CeRP Working Papers 179, Center for Research on Pensions and Welfare Policies, Turin (Italy).
  26. Chen, Zheng & Li, Zhongfei & Zeng, Yan, 2023. "Portfolio choice with illiquid asset for a loss-averse pension fund investor," Insurance: Mathematics and Economics, Elsevier, vol. 108(C), pages 60-83.
  27. Rama Malladi, 2022. "HARI: Characteristics of a new defined lifestyle (DL) retirement planning product," Journal of Financial Services Marketing, Palgrave Macmillan, vol. 27(2), pages 147-163, June.
  28. Wei, Jiaqin & Wang, Tianxiao, 2017. "Time-consistent mean–variance asset–liability management with random coefficients," Insurance: Mathematics and Economics, Elsevier, vol. 77(C), pages 84-96.
  29. Josa-Fombellida, Ricardo & López-Casado, Paula & Rincón-Zapatero, Juan Pablo, 2018. "Portfolio optimization in a defined benefit pension plan where the risky assets are processes with constant elasticity of variance," Insurance: Mathematics and Economics, Elsevier, vol. 82(C), pages 73-86.
  30. Baumann, Roger T. & Müller, Heinz H., 2008. "Pension funds as institutions for intertemporal risk transfer," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 1000-1012, June.
  31. He, Lin & Liang, Zongxia, 2015. "Optimal assets allocation and benefit outgo policies of DC pension plan with compulsory conversion claims," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 227-234.
  32. Henrique Ferreira Morici & Elena Vigna, 2023. "Optimal additional voluntary contribution in DC pension schemes to manage inadequacy risk," Carlo Alberto Notebooks 699 JEL Classification: C, Collegio Carlo Alberto.
  33. Wu, Huiling & Zhang, Ling & Chen, Hua, 2015. "Nash equilibrium strategies for a defined contribution pension management," Insurance: Mathematics and Economics, Elsevier, vol. 62(C), pages 202-214.
  34. Guan, Guohui & Liang, Zongxia & Xia, Yi, 2023. "Optimal management of DC pension fund under the relative performance ratio and VaR constraint," European Journal of Operational Research, Elsevier, vol. 305(2), pages 868-886.
  35. Lanying Sun & Changhao Su & Xinghui Xian, 2020. "Assessing the Sustainability of China’s Basic Pension Funding for Urban and Rural Residents," Sustainability, MDPI, vol. 12(7), pages 1-17, April.
  36. Wang, Pei & Li, Zhongfei, 2018. "Robust optimal investment strategy for an AAM of DC pension plans with stochastic interest rate and stochastic volatility," Insurance: Mathematics and Economics, Elsevier, vol. 80(C), pages 67-83.
  37. Huang, Hong-Chih & Lee, Yung-Tsung, 2020. "A study of the differences among representative investment strategies," International Review of Economics & Finance, Elsevier, vol. 68(C), pages 131-149.
  38. Thijs Kamma & Antoon Pelsser, 2019. "Near-Optimal Dynamic Asset Allocation in Financial Markets with Trading Constraints," Papers 1906.12317, arXiv.org, revised Oct 2019.
  39. Chakroun, Fatma & Abid, Fathi, 2014. "Dynamic asset allocation for bank under stochastic interest rates," MPRA Paper 59295, University Library of Munich, Germany.
  40. Wang, Suxin & Lu, Yi, 2019. "Optimal investment strategies and risk-sharing arrangements for a hybrid pension plan," Insurance: Mathematics and Economics, Elsevier, vol. 89(C), pages 46-62.
  41. Katarzyna Romaniuk, 2007. "The optimal asset allocation of the main types of pension funds: a unified framework," The Geneva Papers on Risk and Insurance Theory, Springer;International Association for the Study of Insurance Economics (The Geneva Association), vol. 32(2), pages 113-128, December.
  42. Marina Di Giacinto & Salvatore Federico & Fausto Gozzi, 2011. "Pension funds with a minimum guarantee: a stochastic control approach," Finance and Stochastics, Springer, vol. 15(2), pages 297-342, June.
  43. Elena Vigna, 2009. "Mean-variance inefficiency of CRRA and CARA utility functions for portfolio selection in defined contribution pension schemes," CeRP Working Papers 89, Center for Research on Pensions and Welfare Policies, Turin (Italy).
  44. He, Lin & Liang, Zongxia, 2013. "Optimal investment strategy for the DC plan with the return of premiums clauses in a mean–variance framework," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 643-649.
  45. Carlo Alberto Magni & Andrea Marchioni, 2022. "Performance attribution, time-weighted rate of return, and clean finite change sensitivity index," Journal of Asset Management, Palgrave Macmillan, vol. 23(1), pages 62-72, February.
  46. Sun, Jingyun & Li, Zhongfei & Zeng, Yan, 2016. "Precommitment and equilibrium investment strategies for defined contribution pension plans under a jump–diffusion model," Insurance: Mathematics and Economics, Elsevier, vol. 67(C), pages 158-172.
  47. Guan, Guohui & Liang, Zongxia, 2015. "Mean–variance efficiency of DC pension plan under stochastic interest rate and mean-reverting returns," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 99-109.
  48. Francesco Menoncin & Elena Vigna, 2013. "Mean-variance target-based optimisation in DC plan with stochastic interest rate," Carlo Alberto Notebooks 337, Collegio Carlo Alberto.
  49. Charles I. Nkeki, 2017. "Optimal Investment And Optimal Additional Voluntary Contribution Rate Of A Dc Pension Fund In A Jump-Diffusion Environment," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 12(04), pages 1-26, December.
  50. Szymon Peszat & Dariusz Zawisza, 2020. "The investor problem based on the HJM model," Papers 2010.13915, arXiv.org, revised Dec 2021.
  51. Esfandi, Elaheh & Mousavi, Mir Hossein & Moshrefi, Rassam & Farhang-Moghaddam, Babak, 2020. "Insurer Optimal Asset Allocation in a Small and Closed Economy: The Case of Iran’s Social Security Organization," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 15(4), pages 445-461, October.
  52. Mei-Ling Tang & Ting-Pin Wu & Ming-Chin Hung, 2022. "Optimal Pension Fund Management with Foreign Investment in a Stochastic Environment," Mathematics, MDPI, vol. 10(14), pages 1-21, July.
  53. Tang, Mei-Ling & Chen, Son-Nan & Lai, Gene C. & Wu, Ting-Pin, 2018. "Asset allocation for a DC pension fund under stochastic interest rates and inflation-protected guarantee," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 87-104.
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