Optimal Control of DC Pension Plan Management under Two Incentive Schemes

DOI10.1080/10920277.2018.1513371zbMath1411.91285OpenAlexW2912697529WikidataQ128393735 ScholiaQ128393735MaRDI QIDQ5742903

Ming Ma, Yang Liu, Lin He, Zongxia Liang

Publication date: 8 May 2019

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2018.1513371

zbMATH Keywords

optimal controldirection contribution pension plan managementoptimal risk-taking policies

Mathematics Subject Classification ID

Applications of optimal control and differential games (49N90)

Related Items

Portfolio optimization with a guaranteed minimum maturity benefit and risk-adjusted fees ⋮ Weighted utility optimization of the participating endowment contract ⋮ A Classification Approach to General S-Shaped Utility Optimization with Principals' Constraints ⋮ Mixed optimal control for discrete-time stochastic systems with random coefficients

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• Optimal management of DC pension plan under loss aversion and value-at-risk constraints
• Stochastic pension fund control in the presence of Poisson jumps
• Optimal investment strategies for participating contracts
• Portfolio optimization under convex incentive schemes
• Optimal investment and consumption decision of a family with life insurance
• Optimal asset allocation for DC pension plans under inflation
• Optimal investment, consumption and life insurance under mean-reverting returns: the complete market solution
• 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
• Coherent Measures of Risk
• Martingale and Duality Methods for Utility Maximization in an Incomplete Market
• PROFIT SHARING IN HEDGE FUNDS
• Gaming Performance Fees By Portfolio Managers