Optimal investment of DC pension plan under incentive schemes and loss aversion
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Publication:6534689
DOI10.1155/2020/5145848zbMATH Open1544.91262MaRDI QIDQ6534689
Yeyang Gong, Yinghui Dong, Author name not available (Why is that?), Wenxin Lv
Publication date: 14 May 2021
Published in: Mathematical Problems in Engineering (Search for Journal in Brave)
Cites Work
- Optimal management of DC pension plan under loss aversion and value-at-risk constraints
- Advances in prospect theory: cumulative representation of uncertainty
- Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility
- Optimal investment of DC pension plan under short-selling constraints and portfolio insurance
- Optimal investment and benefit payment strategy under loss aversion for target benefit pension plans
- Valuing equity-linked death benefits in general exponential Lévy models
- Optimal investment with S-shaped utility and trading and value at risk constraints: an application to defined contribution pension plan
- Asset allocation under loss aversion and minimum performance constraint in a DC pension plan with inflation risk
- Fair valuation of life insurance contracts under a correlated jump diffusion model
- Prospect Theory: An Analysis of Decision under Risk
- Robust portfolio choice for a defined contribution pension plan with stochastic income and interest rate
- Optimal asset allocation for participating contracts under the VaR and PI constraint
- Optimal Control of DC Pension Plan Management under Two Incentive Schemes
- Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund
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