Optimal asset allocation for aggregated defined benefit pension funds with stochastic interest rates

Citations

Cited by:

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4. Ayşegül İşcanog̃lu-Çekiç, 2016. "An Optimal Turkish Private Pension Plan with a Guarantee Feature," Risks, MDPI, vol. 4(3), pages 1-12, June.
5. Josa-Fombellida, Ricardo & Rincón-Zapatero, Juan Pablo, 2012. "Stochastic pension funding when the benefit and the risky asset follow jump diffusion processes," European Journal of Operational Research, Elsevier, vol. 220(2), pages 404-413.
6. Yao, Haixiang & Li, Zhongfei & Li, Duan, 2016. "Multi-period mean-variance portfolio selection with stochastic interest rate and uncontrollable liability," European Journal of Operational Research, Elsevier, vol. 252(3), pages 837-851.
7. Zhao, Hui & Wang, Suxin, 2022. "Optimal investment and benefit adjustment problem for a target benefit pension plan with Cobb-Douglas utility and Epstein-Zin recursive utility," European Journal of Operational Research, Elsevier, vol. 301(3), pages 1166-1180.
8. Hainaut, Donatien, 2014. "Impulse control of pension fund contributions, in a regime switching economy," European Journal of Operational Research, Elsevier, vol. 239(3), pages 810-819.
9. 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.
10. Xiaoyi Zhang & Junyi Guo, 2018. "The Role of Inflation-Indexed Bond in Optimal Management of Defined Contribution Pension Plan During the Decumulation Phase," Risks, MDPI, vol. 6(2), pages 1-16, March.
11. Hong Mao & Zhongkai Wen, 2020. "Optimal Decision on Dynamic Insurance Price and Investment Portfolio of an Insurer with Multi-dimensional Time-Varying Correlation," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 18(1), pages 29-51, March.
12. Di Giacinto, Marina & Federico, Salvatore & Gozzi, Fausto & Vigna, Elena, 2014. "Income drawdown option with minimum guarantee," European Journal of Operational Research, Elsevier, vol. 234(3), pages 610-624.
    • Marina Di Giacinto & Salvatore Federico & Fausto Gozzi & Elena Vigna, 2012. "Income drawdown option with minimum guarantee," Carlo Alberto Notebooks 272, Collegio Carlo Alberto.
13. 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.
14. Josa-Fombellida, Ricardo & Rincón-Zapatero, Juan Pablo, 2019. "Equilibrium strategies in a defined benefit pension plan game," European Journal of Operational Research, Elsevier, vol. 275(1), pages 374-386.
15. Guohui Guan & Zongxia Liang & Yi Xia, 2023. "Optimal management of DB pension fund under both underfunded and overfunded cases," Papers 2302.08731, arXiv.org.
16. Chang, Hao & Chang, Kai, 2017. "Optimal consumption–investment strategy under the Vasicek model: HARA utility and Legendre transform," Insurance: Mathematics and Economics, Elsevier, vol. 72(C), pages 215-227.
17. Baltas, I. & Dopierala, L. & Kolodziejczyk, K. & Szczepański, M. & Weber, G.-W. & Yannacopoulos, A.N., 2022. "Optimal management of defined contribution pension funds under the effect of inflation, mortality and uncertainty," European Journal of Operational Research, Elsevier, vol. 298(3), pages 1162-1174.
18. Lioui, Abraham & Poncet, Patrice, 2013. "Optimal benchmarking for active portfolio managers," European Journal of Operational Research, Elsevier, vol. 226(2), pages 268-276.
19. Elisa Luciano & Luca Regis, 2012. "Demographic risk transfer: is it worth for annuity providers?," ICER Working Papers 11-2012, ICER - International Centre for Economic Research.
20. Kerem SENEL & A. Bulent PAMUKCU, 2012. "A Comparative Study For Multi-Period Asset Allocation Of Defined Contribution Schemes: Evidence From Turkey," Istanbul Commerce University Journal of Social Sciences, Istanbul Commerce University, vol. 21(1), pages 289-304.
21. Li, Danping & Rong, Ximin & Zhao, Hui, 2015. "Time-consistent reinsurance–investment strategy for a mean–variance insurer under stochastic interest rate model and inflation risk," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 28-44.
22. Guan, Guohui & Liang, Zongxia, 2014. "Optimal reinsurance and investment strategies for insurer under interest rate and inflation risks," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 105-115.
23. Chang, Hao, 2015. "Dynamic mean–variance portfolio selection with liability and stochastic interest rate," Economic Modelling, Elsevier, vol. 51(C), pages 172-182.
24. 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.
25. He, Lin & Liang, Zongxia & Wang, Sheng, 2022. "Dynamic optimal adjustment policies of hybrid pension plans," Insurance: Mathematics and Economics, Elsevier, vol. 106(C), pages 46-68.
26. Mao, Hong & Carson, James M. & Ostaszewski, Krzysztof M. & Wen, Zhongkai, 2013. "Optimal decision on dynamic insurance price and investment portfolio of an insurer," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 359-369.