Optimal investment and benefit payment strategy under loss aversion for target benefit pension plans
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Publication:2008410
DOI10.1016/j.amc.2018.10.030zbMath1429.91296OpenAlexW2899465298MaRDI QIDQ2008410
Hui Zhao, Suxin Wang, Xi-Min Rong
Publication date: 25 November 2019
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.amc.2018.10.030
loss aversionmartingale methodoptimal investment strategyintergenerational risk sharingpension benefit constraintsTBP
Related Items (5)
Robust optimal investment and benefit payment adjustment strategy for target benefit pension plans under default risk ⋮ Optimal investment of DC pension plan with two VaR constraints ⋮ Target benefit pension plan with longevity risk and intergenerational equity ⋮ Optimal assets allocation and benefit adjustment strategy with longevity risk for target benefit pension plans ⋮ Unnamed Item
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