Lifetime investment and consumption using a defined-contribution pension scheme
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DOI: 10.1016/j.jedc.2012.01.012
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Citations
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Journal of Economic Dynamics and Control, Elsevier, vol. 38(C), pages 105-124.
- Blake, David & Wright, Douglas & Zhang, Yumeng, 2011. "Age dependent investing: Optimal funding and investment strategies in defined contribution pension plans when members are rational life cycle financial planners," MPRA Paper 34277, University Library of Munich, Germany.
- Yao, Haixiang & Yang, Zhou & Chen, Ping, 2013. "Markowitz’s mean–variance defined contribution pension fund management under inflation: A continuous-time model," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 851-863.
- Yao, Haixiang & Chen, Ping & Li, Xun, 2016. "Multi-period defined contribution pension funds investment management with regime-switching and mortality risk," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 103-113.
- Blake, David & Wright, Douglas & Zhang, Yumeng, 2013.
"Target-driven investing: Optimal investment strategies in defined contribution pension plans under loss aversion,"
Journal of Economic Dynamics and Control, Elsevier, vol. 37(1), pages 195-209.
- Blake, David & Wright, Douglas & Zhang, Yumeng, 2011. "Target-driven investing: Optimal investment strategies in defined contribution pension plans under loss aversion," MPRA Paper 34278, University Library of Munich, Germany.
- Han, Nan-Wei & Hung, Mao-Wei, 2015. "The investment management for a downside-protected equity-linked annuity under interest rate risk," Finance Research Letters, Elsevier, vol. 13(C), pages 113-124.
- Guohui Guan & Zongxia Liang & Yi Xia, 2023. "Optimal management of DB pension fund under both underfunded and overfunded cases," Papers 2302.08731, arXiv.org.
- Wang, Peiguang & Wang, Zihui & Wang, Wenli, 2024. "Modeling mispricing risk of defined contribution pension plan with a mean–variance criteria," The North American Journal of Economics and Finance, Elsevier, vol. 74(C).
- Yao, Haixiang & Lai, Yongzeng & Ma, Qinghua & Jian, Minjie, 2014. "Asset allocation for a DC pension fund with stochastic income and mortality risk: A multi-period mean–variance framework," Insurance: Mathematics and Economics, Elsevier, vol. 54(C), pages 84-92.
- Zeng, Yan & Li, Danping & Chen, Zheng & Yang, Zhou, 2018. "Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility," Journal of Economic Dynamics and Control, Elsevier, vol. 88(C), pages 70-103.
- Chen, Zheng & Li, Zhongfei & Zeng, Yan & Sun, Jingyun, 2017. "Asset allocation under loss aversion and minimum performance constraint in a DC pension plan with inflation risk," Insurance: Mathematics and Economics, Elsevier, vol. 75(C), pages 137-150.
- Pagnoncelli, Bernardo K. & Homem-de-Mello, Tito & Lagos, Guido & Castañeda, Pablo & García, Javier, 2024. "Solving constrained consumption–investment problems by decomposition algorithms," European Journal of Operational Research, Elsevier, vol. 319(1), pages 292-302.
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More about this item
Keywords
Defined-contribution pension; Lifecycle model; Stochastic income; Replacement ratio;All these keywords.
JEL classification:
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- D31 - Microeconomics - - Distribution - - - Personal Income and Wealth Distribution
- D52 - Microeconomics - - General Equilibrium and Disequilibrium - - - Incomplete Markets
- D91 - Microeconomics - - Micro-Based Behavioral Economics - - - Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making
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