Optimal investment and benefit adjustment problem for a target benefit pension plan with Cobb-Douglas utility and Epstein-Zin recursive utility
Year of publication: |
2022
|
---|---|
Authors: | Zhao, Hui ; Wang, Suxin |
Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 301.2022, 3 (16.9.), p. 1166-1180
|
Subject: | Dynamic programming | Target benefit pension plan | Cobb-Douglas utility | Optimal investment | Stochastic differential utility | Theorie | Theory | Nutzen | Utility | Portfolio-Management | Portfolio selection | Nutzenfunktion | Utility function | Betriebliche Altersversorgung | Occupational pension plan | Pensionskasse | Pension fund | Dynamische Optimierung | Mathematische Optimierung | Mathematical programming |
-
Heterogeneity in optimal investment and drawdown strategies in retirement
Butt, Adam, (2022)
-
Bahchedjioglou, Olena, (2022)
-
How good are default investment policies in defined contribution pension plans?
Duque, Daniel, (2021)
- More ...
-
Rong, Ximin, (2022)
-
Zhao, Hui, (2023)
-
Optimal investment strategies and risk-sharing arrangements for a hybrid pension plan
Wang, Suxin, (2019)
- More ...