Robust optimal strategies of DC pension plans with stochastic volatility and stochastic income under mean-variance criteria
type: Item
instance of: scholarly article
title: Robust optimal strategies of DC pension plans with stochastic volatility and stochastic income under mean-variance criteria
zbMATH Open document ID: 1499.91090
author: Hao Chang
author: Jiaao Li
author: Hui Zhao
published in: Journal of Industrial and Management Optimization
publication date: 2022-02-16T00:00:00Z
Mathematics Subject Classification ID: 91G05
Mathematics Subject Classification ID: 60H30
Mathematics Subject Classification ID: 93E20
zbMATH DE Number: 7475174
zbMATH Keywords: Heston's stochastic volatility model
zbMATH Keywords: stochastic income
zbMATH Keywords: DC pension plan
zbMATH Keywords: mean-variance model
zbMATH Keywords: ambiguity-averse member
MaRDI profile type: Publication
full work available at URL: jimo.2021025
OpenAlex ID: W3134531946
cites work: Benchmark and mean-variance problems for insurers
cites work: Optimal mean-variance investment/reinsurance with common shock in a regime-switching market
cites work: An investment and consumption problem with CIR interest rate and stochastic volatility
cites work: Optimal investment strategies in the presence of a minimum guarantee.
cites work: Mean–variance efficiency with extended CIR interest rates
cites work: Dynamic mean-variance portfolio selection with borrowing constraint
cites work: Pension funds with a minimum guarantee: a stochastic control approach
cites work: Optimal management of DC pension plan in a stochastic interest rate and stochastic volatility framework
cites work: Optimal investment strategies and risk measures in defined contribution pension schemes.
cites work: Optimal asset allocation for DC pension plans under inflation
cites work: A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
cites work: Portfolio optimization in discrete time with proportional transaction costs under stochastic volatility
cites work: Optimal dynamic portfolio selection: multiperiod mean-variance formulation
cites work: Optimal reinsurance and investment problem for an insurer and a reinsurer with jump-diffusion risk process under the Heston model
cites work: Optimal dynamic asset allocation of pension fund in mortality and salary risks framework
cites work: Mean-Variance Portfolio Selection with Random Parameters in a Complete Market
cites work: Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium
cites work: Optimal investment strategy for defined contribution pension schemes
cites work: Robust optimal investment strategy for an AAM of DC pension plans with stochastic interest rate and stochastic volatility
cites work: Markowitz's mean-variance defined contribution pension fund management under inflation: a continuous-time model
cites work: Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model
cites work: Robust optimal strategies for an insurer with reinsurance and investment under benchmark and mean-variance criteria
cites work: Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility
cites work: Optimal investment for a pension fund under inflation risk
cites work: Optimal excess-of-loss reinsurance and investment problem for an insurer with jump-diffusion risk process under the Heston model
cites work: Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model
cites work: Continuous-time mean-variance portfolio selection: a stochastic LQ framework
DOI: 10.3934/JIMO.2021025
description: scientific article; zbMATH DE number 7475174