Robust portfolio choice for a DC pension plan with inflation risk and mean-reverting risk premium under ambiguity
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Publication:5151534
DOI10.1080/02331934.2019.1679812zbMath1460.91242OpenAlexW2986634107MaRDI QIDQ5151534
Jingyun Sun, Pei Wang, Zhong-Fei Li
Publication date: 19 February 2021
Published in: Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/02331934.2019.1679812
Related Items (11)
Robust optimal investment strategy of DC pension plans with stochastic salary and a return of premiums clause ⋮ Asset allocation for a DC pension plan with learning about stock return predictability ⋮ Robust equilibrium strategies in a defined benefit pension plan game ⋮ Robust time-consistent strategy for the defined contribution pension plan with a minimum guarantee under ambiguity ⋮ Optimal DC pension investment with square-root factor processes under stochastic income and inflation risks ⋮ Robust portfolio choice with limited attention ⋮ Optimal investment in a general stochastic factor framework under model uncertainty ⋮ Robust optimal investment strategies for mean-variance asset-liability management under 4/2 stochastic volatility models ⋮ Optimal consumption, leisure and job choice under inflationary environment ⋮ Robust retirement and life insurance with inflation risk and model ambiguity ⋮ Unnamed Item
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