Time-consistent investment strategy for DC pension plan with stochastic salary under CEV model
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Publication:328079
DOI10.1007/s11424-016-3171-3zbMath1414.91213OpenAlexW2324161544MaRDI QIDQ328079
Danping Li, Hui Zhao, Xi-Min Rong
Publication date: 20 October 2016
Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11424-016-3171-3
mean-variance criteriondefined contribution pension planconstant elasticity of variance modelstochastic salarytime-consistency investment strategy
Related Items (8)
Robust equilibrium strategy for DC pension plan with the return of premiums clauses in a jump-diffusion model ⋮ Optimal investment strategy for a DC pension plan with mispricing under the Heston model ⋮ Pre-commitment and equilibrium investment strategies for the DC pension plan with regime switching and a return of premiums clause ⋮ Optimal investment strategy for a family with a random household expenditure under the CEV model ⋮ Time-consistent investment strategies for a DC pension member with stochastic interest rate and stochastic income ⋮ Equilibrium investment strategy for multi-period DC pension funds with stochastic interest rate and regime switching ⋮ Time consistent pension funding in a defined benefit pension plan with non-constant discounting ⋮ Time consistent mean-variance asset allocation for a DC plan with regime switching under a jump-diffusion model
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