Mean-variance dynamic optimality for DC pension schemes
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- R. A. Pollak, 1968. "Consistent Planning," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 35(2), pages 201-208.
- Elena Vigna, 2014. "On efficiency of mean--variance based portfolio selection in defined contribution pension schemes," Quantitative Finance, Taylor & Francis Journals, vol. 14(2), pages 237-258, February.
- Menoncin, Francesco & Vigna, Elena, 2017. "Mean–variance target-based optimisation for defined contribution pension schemes in a stochastic framework," Insurance: Mathematics and Economics, Elsevier, vol. 76(C), pages 172-184.
- Suleyman Basak & Georgy Chabakauri, 2010.
"Dynamic Mean-Variance Asset Allocation,"
The Review of Financial Studies, Society for Financial Studies, vol. 23(8), pages 2970-3016, August.
- Basak, Suleyman & Chabakauri, Georgy, 2009. "Dynamic Mean-Variance Asset Allocation," CEPR Discussion Papers 7256, C.E.P.R. Discussion Papers.
- Tomas Björk & Mariana Khapko & Agatha Murgoci, 2017. "On time-inconsistent stochastic control in continuous time," Finance and Stochastics, Springer, vol. 21(2), pages 331-360, April.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Fahrenwaldt, Matthias Albrecht & Jensen, Ninna Reitzel & Steffensen, Mogens, 2020. "Nonrecursive separation of risk and time preferences," Journal of Mathematical Economics, Elsevier, vol. 90(C), pages 95-108.
- Liyuan Wang & Zhiping Chen, 2019. "Stochastic Game Theoretic Formulation for a Multi-Period DC Pension Plan with State-Dependent Risk Aversion," Mathematics, MDPI, vol. 7(1), pages 1-16, January.
- Li, Yuying & Forsyth, Peter A., 2019. "A data-driven neural network approach to optimal asset allocation for target based defined contribution pension plans," Insurance: Mathematics and Economics, Elsevier, vol. 86(C), pages 189-204.
- Pieter M. van Staden & Peter A. Forsyth & Yuying Li, 2023. "A parsimonious neural network approach to solve portfolio optimization problems without using dynamic programming," Papers 2303.08968, arXiv.org.
- Peter A. Forsyth & Kenneth R. Vetzal, 2019. "Defined Contribution Pension Plans: Who Has Seen the Risk?," JRFM, MDPI, vol. 12(2), pages 1-27, April.
- Yu-Jui Huang & Adrien Nguyen-Huu, 2018.
"Time-consistent stopping under decreasing impatience,"
Finance and Stochastics, Springer, vol. 22(1), pages 69-95, January.
- Yu-Jui Huang & Adrien Nguyen-Huu, 2017. "Time-consistent stopping under decreasing impatience [Arrêt temporellement cohérent sous impatience décroissante]," Working Papers hal-01116414, HAL.
- Yu-Jui Huang & Adrien Nguyen-Huu, 2018. "Time-consistent stopping under decreasing impatience," Post-Print hal-01950058, HAL.
- Alia, Ishak & Chighoub, Farid & Sohail, Ayesha, 2016. "A characterization of equilibrium strategies in continuous-time mean–variance problems for insurers," Insurance: Mathematics and Economics, Elsevier, vol. 68(C), pages 212-223.
- Chen, Kexin & Wong, Hoi Ying, 2019. "Time-consistent mean-variance hedging of an illiquid asset with a cointegrated liquid asset," Finance Research Letters, Elsevier, vol. 29(C), pages 184-192.
- Marcel Nutz & Yuchong Zhang, 2019. "Conditional Optimal Stopping: A Time-Inconsistent Optimization," Papers 1901.05802, arXiv.org, revised Oct 2019.
- Liyuan Lin & Fangda Liu & Jingzhen Liu abd Luyang Yu, 2023. "The optimal reinsurance strategy with price-competition between two reinsurers," Papers 2305.00509, arXiv.org.
- Bosserhoff, Frank & Stadje, Mitja, 2021. "Time-consistent mean-variance investment with unit linked life insurance contracts in a jump-diffusion setting," Insurance: Mathematics and Economics, Elsevier, vol. 100(C), pages 130-146.
- Zhou, Zhou & Jin, Zhuo, 2020. "Optimal equilibrium barrier strategies for time-inconsistent dividend problems in discrete time," Insurance: Mathematics and Economics, Elsevier, vol. 94(C), pages 100-108.
- Zhiping Chen & Liyuan Wang & Ping Chen & Haixiang Yao, 2019. "Continuous-Time Mean–Variance Optimization For Defined Contribution Pension Funds With Regime-Switching," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(06), pages 1-33, September.
- Ben-Zhang Yang & Xin-Jiang He & Song-Ping Zhu, 2020. "Continuous time mean-variance-utility portfolio problem and its equilibrium strategy," Papers 2005.06782, arXiv.org, revised Nov 2020.
- Camilo Hern'andez & Dylan Possamai, 2020. "Me, myself and I: a general theory of non-Markovian time-inconsistent stochastic control for sophisticated agents," Papers 2002.12572, arXiv.org, revised Jul 2021.
- Li, Yongwu & Li, Zhongfei, 2013. "Optimal time-consistent investment and reinsurance strategies for mean–variance insurers with state dependent risk aversion," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 86-97.
- F. Cong & C. W. Oosterlee, 2017. "On Robust Multi-Period Pre-Commitment And Time-Consistent Mean-Variance Portfolio Optimization," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(07), pages 1-26, November.
- Qian Lei & Chi Seng Pun, 2021. "Nonlocality, Nonlinearity, and Time Inconsistency in Stochastic Differential Games," Papers 2112.14409, arXiv.org, revised Sep 2023.
- Min Dai & Hanqing Jin & Steven Kou & Yuhong Xu, 2021. "Robo-advising: a dynamic mean-variance approach," Digital Finance, Springer, vol. 3(2), pages 81-97, June.
- Cetemen, Doruk & Feng, Felix Zhiyu & Urgun, Can, 2023.
"Renegotiation and dynamic inconsistency: Contracting with non-exponential discounting,"
Journal of Economic Theory, Elsevier, vol. 208(C).
- Doruk Cetemen & Felix Zhiyu Feng & Can Urgun, 2021. "Renegotiation and Dynamic Inconsistency: Contracting with Non-Exponential Discounting," Working Papers 2021-58, Princeton University. Economics Department..
More about this item
Keywords
Time inconsistency; dynamic programming; martingale approach; pre commitment approach; mean-variance portfolio selection.;All these keywords.
JEL classification:
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cca:wpaper:587. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Giovanni Bert (email available below). General contact details of provider: https://edirc.repec.org/data/fccaait.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.