Relative performance concern on DC pension plan under Heston model with inflation risk

DOI10.1155/2020/5180286zbMath1459.91183OpenAlexW3117891511MaRDI QIDQ2217821

Peimin Chen, Aimin Song

Publication date: 14 January 2021

Published in: Mathematical Problems in Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2020/5180286

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Corporate finance (dividends, real options, etc.) (91G50) Portfolio theory (91G10)

Cites Work

• Optimal management of DC pension plan under loss aversion and value-at-risk constraints
• Optimal portfolios for DC pension plans under a CEV model
• Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility
• Equilibrium investment strategy for DC pension plan with inflation and stochastic income under Heston's SV model
• Optimal asset allocation for DC pension plans under inflation
• Optimal management of DC pension plan in a stochastic interest rate and stochastic volatility framework
• A stochastic Nash equilibrium portfolio game between two DC pension funds
• On efficiency of mean–variance based portfolio selection in defined contribution pension schemes
• Stochastic differential portfolio games
• OPTIMAL INVESTMENT UNDER RELATIVE PERFORMANCE CONCERNS
• Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund

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