Dong, Yinghui; Wei, Siyuan; Lv, Wenxin; Yin, Zihan Optimal investment of DC pension plan under loss aversion and LEL constraint. (Chinese. English summary) Zbl 07801520 Acta Math. Appl. Sin. 46, No. 2, 291-312 (2023). MSC: 91-XX × Cite Format Result Cite Review PDF Full Text: Link
Wang, Liyuan; Chen, Zhiping; Yang, Peng Equilibrium behavioral strategy for a DC pension plan with piecewise linear state-dependent risk tolerance. (English) Zbl 07702509 Commun. Stat., Theory Methods 52, No. 7, 2309-2337 (2023). MSC: 62-XX × Cite Format Result Cite Review PDF Full Text: DOI
Peng, Xingchun; Zhou, Hao; Luo, Liuling Time-consistent investment strategy for a DC pension plan with hidden Markov regime switching. (English) Zbl 1519.91220 J. Comput. Appl. Math. 425, Article ID 115058, 23 p. (2023). MSC: 91G05 62P05 62M05 × Cite Format Result Cite Review PDF Full Text: DOI
Chen, Zheng; Li, Zhongfei; Zeng, Yan Portfolio choice with illiquid asset for a loss-averse pension fund investor. (English) Zbl 1507.91170 Insur. Math. Econ. 108, 60-83 (2023). MSC: 91G05 91G10 60G46 × Cite Format Result Cite Review PDF Full Text: DOI
Guan, Guohui; Liang, Zongxia; Xia, Yi Optimal management of DC pension fund under the relative performance ratio and VaR constraint. (English) Zbl 1541.91225 Eur. J. Oper. Res. 305, No. 2, 868-886 (2023). MSC: 91G10 91G05 93E20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Zhao, Leilei Chang Hao Li Jiaao A defined contribution pension plan with multiple risks under the mean-variance criterion. (Chinese. English summary) Zbl 1538.91076 Chin. J. Appl. Probab. Stat. 38, No. 6, 847-866 (2022). MSC: 91G10 91G30 49L20 × Cite Format Result Cite Review PDF Full Text: DOI
Peng, Xingchun; Chen, Fenge Deterministic investment strategy in a DC pension plan with inflation risk under mean-variance criterion. (English) Zbl 1505.91338 Probab. Eng. Inf. Sci. 36, No. 1, 201-216 (2022). MSC: 91G05 60H07 × Cite Format Result Cite Review PDF Full Text: DOI
Yan, Ming; Cao, Zheng; Wang, Ting; Zhang, Shuhua Robust optimal investment strategy of DC pension plans with stochastic salary and a return of premiums clause. (English) Zbl 07596368 Commun. Stat., Theory Methods 51, No. 22, 7980-8011 (2022). MSC: 62-XX × Cite Format Result Cite Review PDF Full Text: DOI
Wang, Pei; Zhang, Ling; Li, Zhongfei Asset allocation for a DC pension plan with learning about stock return predictability. (English) Zbl 1513.90105 J. Ind. Manag. Optim. 18, No. 6, 3847-3877 (2022). MSC: 90B50 90C39 91G10 × Cite Format Result Cite Review PDF Full Text: DOI
Zhang, Xiaoyi Optimal DC pension management under inflation risk with jump diffusion price index and cost of living process. (English) Zbl 1489.91228 Methodol. Comput. Appl. Probab. 24, No. 2, 1253-1270 (2022). MSC: 91G05 91G10 49N90 90C39 × Cite Format Result Cite Review PDF Full Text: DOI
Zhu, Shunqing; Dong, Yinghui; Wu, Sang Optimal investment of DC pension plan with two VaR constraints. (English) Zbl 07533632 Commun. Stat., Theory Methods 51, No. 6, 1745-1764 (2022). MSC: 91B16 91G10 62-XX × Cite Format Result Cite Review PDF Full Text: DOI
Chang, Hao; Li, Jiaao; Zhao, Hui Robust optimal strategies of DC pension plans with stochastic volatility and stochastic income under mean-variance criteria. (English) Zbl 1499.91090 J. Ind. Manag. Optim. 18, No. 2, 1393-1423 (2022). MSC: 91G05 60H30 93E20 × Cite Format Result Cite Review PDF Full Text: DOI
Guambe, Calisto; Kufakunesu, Rodwell; van Zyl, Gusti; Beyers, Conrad Time consistent mean-variance asset allocation for a DC plan with regime switching under a jump-diffusion model. (English) Zbl 1482.91182 Japan J. Ind. Appl. Math. 39, No. 1, 119-143 (2022). MSC: 91G05 60J74 × Cite Format Result Cite Review PDF Full Text: DOI
Yong, Xuelin; Sun, Xiaoqian; Gao, Jianwei Symmetry-based optimal portfolio for a DC pension plan under a CEV model with power utility. (English) Zbl 1517.91209 Nonlinear Dyn. 103, No. 2, 1775-1783 (2021). MSC: 91G10 49L12 × Cite Format Result Cite Review PDF Full Text: DOI
Guambe, Calisto; Kufakunesu, Rodwell; van Zyl, Gusti; Beyers, Conrad Optimal asset allocation for a DC plan with partial information under inflation and mortality risks. (English) Zbl 07530952 Commun. Stat., Theory Methods 50, No. 9, 2048-2061 (2021). MSC: 60H30 91B30 93E20 91G10 91G80 62-XX × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Wang, Pei; Shen, Yang; Zhang, Ling; Kang, Yuxin Equilibrium investment strategy for a DC pension plan with learning about stock return predictability. (English) Zbl 1471.91486 Insur. Math. Econ. 100, 384-407 (2021). MSC: 91G05 91A80 × Cite Format Result Cite Review PDF Full Text: DOI
Wang, Pei; Chen, Zheng; Zhang, Ling Equilibrium investment strategy for a DC pension plan with derivative trading. (Chinese. English summary) Zbl 1488.91101 Acta Sci. Nat. Univ. Sunyatseni 60, No. 3, 147-158 (2021). MSC: 91G05 91G10 × Cite Format Result Cite Review PDF Full Text: DOI
Wang, Liyuan; Chen, Zhiping; Yang, Peng Robust equilibrium control-measure policy for a DC pension plan with state-dependent risk aversion under mean-variance criterion. (English) Zbl 1476.90163 J. Ind. Manag. Optim. 17, No. 3, 1203-1233 (2021). MSC: 90B50 93E20 91G80 91A10 × Cite Format Result Cite Review PDF Full Text: DOI
Wang, Pei; Li, Zhongfei; Sun, Jingyun Robust portfolio choice for a DC pension plan with inflation risk and mean-reverting risk premium under ambiguity. (English) Zbl 1460.91242 Optimization 70, No. 1, 191-224 (2021). MSC: 91G05 91G10 × Cite Format Result Cite Review PDF Full Text: DOI
Sun, Xiaoqian; Yong, Xuelin; Gao, Jianwei Optimal portfolio for a defined-contribution pension plan under a constant elasticity of variance model with exponential utility. (English) Zbl 1480.91246 Front. Math. China 15, No. 5, 1001-1009 (2020). MSC: 91G05 91G10 × Cite Format Result Cite Review PDF Full Text: DOI
Deng, Limei; Gu, Ailing; Yi, Bo Optimal investment strategy under a stochastic model for DC pension. (Chinese. English summary) Zbl 1474.91149 Acta Sci. Nat. Univ. Sunyatseni 59, No. 5, 19-28 (2020). MSC: 91G05 × Cite Format Result Cite Review PDF Full Text: DOI
Zhang, Xiaoyi The role of longevity bond in DC pension plan during both accumulation and decumulation phases. (English) Zbl 1463.91124 Chin. J. Eng. Math. 37, No. 3, 347-369 (2020). MSC: 91G05 93E20 × Cite Format Result Cite Review PDF Full Text: DOI
Zhang, Ling; Li, Danping; Lai, Yongzeng Equilibrium investment strategy for a defined contribution pension plan under stochastic interest rate and stochastic volatility. (English) Zbl 1442.91082 J. Comput. Appl. Math. 368, Article ID 112536, 21 p. (2020). Reviewer: Hanspeter Schmidli (Köln) MSC: 91G05 91G30 × Cite Format Result Cite Review PDF Full Text: DOI
Wang, Liyuan; Chen, Zhiping; Li, Zongxin Optimal strategy with multiple risky assets for DC pension plans under inflation: a market completion framework. (English) Zbl 1449.91110 Chin. J. Eng. Math. 36, No. 5, 557-577 (2019). MSC: 91G05 90C39 × Cite Format Result Cite Review PDF Full Text: DOI
Chen, Zhiping; Wang, Liyuan; Chen, Ping; Yao, Haixiang Continuous-time mean-variance optimization for defined contribution pension funds with regime-switching. (English) Zbl 1426.91208 Int. J. Theor. Appl. Finance 22, No. 6, Article ID 1950029, 33 p. (2019). MSC: 91G05 × Cite Format Result Cite Review PDF Full Text: DOI
Mudzimbabwe, Walter A simple numerical solution for an optimal investment strategy for a DC pension plan in a jump diffusion model. (English) Zbl 1419.49033 J. Comput. Appl. Math. 360, 55-61 (2019). MSC: 49L20 49K15 45J05 91B30 × Cite Format Result Cite Review PDF Full Text: DOI
Bian, Lihua; Li, Zhongfei; Yao, Haixiang Pre-commitment and equilibrium investment strategies for the DC pension plan with regime switching and a return of premiums clause. (English) Zbl 1416.91159 Insur. Math. Econ. 81, 78-94 (2018). MSC: 91B30 60J20 90C39 91G10 × Cite Format Result Cite Review PDF Full Text: DOI
Zeng, Yan; Li, Danping; Chen, Zheng; Yang, Zhou Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility. (English) Zbl 1401.91212 J. Econ. Dyn. Control 88, 70-103 (2018). MSC: 91B30 91G10 × Cite Format Result Cite Review PDF Full Text: DOI Link
Wang, Pei; Li, Zhongfei Robust optimal investment strategy for an AAM of DC pension plans with stochastic interest rate and stochastic volatility. (English) Zbl 1402.91217 Insur. Math. Econ. 80, 67-83 (2018). MSC: 91B30 90C15 90C39 91G10 91G30 × Cite Format Result Cite Review PDF Full Text: DOI
Chen, Zheng; Li, Zhongfei; Zeng, Yan; Sun, Jingyun Asset allocation under loss aversion and minimum performance constraint in a DC pension plan with inflation risk. (English) Zbl 1394.91203 Insur. Math. Econ. 75, 137-150 (2017). MSC: 91B30 91G10 93E20 × Cite Format Result Cite Review PDF Full Text: DOI
Li, Danping; Rong, Ximin; Zhao, Hui; Yi, Bo Equilibrium investment strategy for DC pension plan with default risk and return of premiums clauses under CEV model. (English) Zbl 1394.91332 Insur. Math. Econ. 72, 6-20 (2017). MSC: 91G10 91B30 93E20 × Cite Format Result Cite Review PDF Full Text: DOI
He, Lin; Liang, Zongxia Optimal assets allocation and benefit outgo policies of DC pension plan with compulsory conversion claims. (English) Zbl 1314.91195 Insur. Math. Econ. 61, 227-234 (2015). MSC: 91G10 91B30 × Cite Format Result Cite Review PDF Full Text: DOI
He, Lin; Liang, Zongxia Optimal investment strategy for the DC plan with the return of premiums clauses in a mean-variance framework. (English) Zbl 1290.91147 Insur. Math. Econ. 53, No. 3, 643-649 (2013). MSC: 91G10 91B30 93E20 × Cite Format Result Cite Review PDF Full Text: DOI