OPTIMAL INVESTMENT FOR A DEFINED-CONTRIBUTION PENSION SCHEME UNDER A REGIME SWITCHING MODEL

DOI10.1017/asb.2014.33zbMath1390.91168OpenAlexW3124705459MaRDI QIDQ4563743

Łukasz Delong, An Chen

Publication date: 4 June 2018

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/asb.2014.33

zbMATH Keywords

certainty equivalentbackward stochastic differential equationsexponential utility maximizationmacroeconomic risks

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Portfolio theory (91G10)

Related Items

Asset allocation under loss aversion and minimum performance constraint in a DC pension plan with inflation risk, DETERMINISTIC INVESTMENT STRATEGY IN A DC PENSION PLAN WITH INFLATION RISK UNDER MEAN-VARIANCE CRITERION, ROBUST STABILITY, STABILISATION AND H-INFINITY CONTROL FOR PREMIUM-RESERVE MODELS IN A MARKOVIAN REGIME SWITCHING DISCRETE-TIME FRAMEWORK, Optimal asset allocation for a DC plan with partial information under inflation and mortality risks, Pre-commitment and equilibrium investment strategies for the DC pension plan with regime switching and a return of premiums clause, DIFFUSION LIMITS FOR A MARKOV MODULATED BINOMIAL COUNTING PROCESS, A defined benefit pension plan model with stochastic salary and heterogeneous discounting, Equilibrium investment strategy for multi-period DC pension funds with stochastic interest rate and regime switching, Finite-horizon general insolvency risk measures in a regime-switching Sparre Andersen model, Optimal investment of DC pension plan under short-selling constraints and portfolio insurance, Explicit Computations for Some Markov Modulated Counting Processes, Time consistent mean-variance asset allocation for a DC plan with regime switching under a jump-diffusion model, Dynamic discrete-time portfolio selection for defined contribution pension funds with inflation risk, Management of Portfolio Depletion Risk through Optimal Life Cycle Asset Allocation

Cites Work

• Unnamed Item
• Optimum consumption and portfolio rules in a continuous-time model
• Target-driven investing: optimal investment strategies in defined contribution pension plans under loss aversion
• Backward stochastic differential equations with jumps and their actuarial and financial applications. BSDEs with jumps
• On pricing and hedging options in regime-switching models with feedback effect
• Stochastic optimal control of DC pension funds
• Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans
• Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging
• Discrete-time approximation of decoupled Forward-Backward SDE with jumps
• Utility maximization in incomplete markets
• On Bonus and Bonus Prognoses in Life Insurance
• About the Pricing Equations in Finance
• Backward Stochastic Differential Equations in Finance
• Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
• Valuing American Options by Simulation: A Simple Least-Squares Approach
• Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund