Optimal long-term Tier 1 employee pension management with an application to Chinese urban areas

DOI10.1080/14697688.2022.2092329zbMath1500.91114OpenAlexW4285039035MaRDI QIDQ5039636

Giorgio Consigli, Zhiping Chen, Zhe Yan, Bing-Bing Ji

Publication date: 30 September 2022

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2022.2092329

zbMATH Keywords

dynamic programmingsensitivity analysismultistage stochastic programmingstrategic asset allocationChinese public pension fundlong-term sustainability

Mathematics Subject Classification ID

Stochastic programming (90C15) Dynamic programming (90C39) Actuarial mathematics (91G05)

Cites Work

• Unnamed Item
• Multi-period mean-variance portfolio selection with Markov regime switching and uncertain time-horizon
• A copula-based scenario tree generation algorithm for multiperiod portfolio selection problems
• Scenario tree modeling for multistage stochastic programs
• Dynamic stochastic programming for asset-liability management
• Discretized reality and spurious profits in stochastic programming models for asset/liability management
• Optimal pension funding through dynamic simulations: The case of Taiwan public employees retirement system
• Optimal investment strategies and risk measures in defined contribution pension schemes.
• A stochastic programming model for the optimal issuance of government bonds
• Combining stochastic programming and optimal control to decompose multistage stochastic optimization problems
• Asset allocation for a DC pension fund with stochastic income and mortality risk: a multi-period mean-variance framework
• A multi-objective multi-period stochastic programming model for public debt management
• A combined stochastic programming and optimal control approach to personal finance and pensions
• Optimal chance-constrained pension fund management through dynamic stochastic control
• Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
• Path-dependent scenario trees for multistage stochastic programmes in finance
• Comment on “Generating Scenario Trees for Multistage Decision Problems”
• Lectures on Stochastic Programming
• Comparison of Sampling Methods for Dynamic Stochastic Programming
• THE ANALYTIC APPROACH FOR THE STOCHASTIC PROJECTION OF THE PUBLIC PENSION FUND

This page was built for publication: Optimal long-term Tier 1 employee pension management with an application to Chinese urban areas