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ArticleOptimal design of the guarantee for defined contribution funds

Griselda Deelstra2004

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Articlegreen2004

Optimal design of the guarantee for defined contribution funds

Griselda Deelstra · Martino Grasselli · Pierre‐François Koehl

88 citations·0/0 files stored·Journal of Economic Dynamics and Control

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Financial Literacy, Pension, Retirement Analysis Stochastic processes and financial applications Risk and Portfolio Optimization

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References

1977An equilibrium characterization of the term structure 1987Aggregation and Linearity in the Provision of Intertemporal Incentives 2001Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund 2003Optimal investment strategies in the presence of a minimum guarantee 1998Optimization of consumption with labor income

Cited by

2010Pension funds with a minimum guarantee: a stochastic control approach 2018Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility 2010A stochastic control problem with delay arising in a pension fund model 2021Optimal management of defined contribution pension funds under the effect of inflation, mortality and uncertainty 2009Optimal investment strategy for annuity contracts under the constant elasticity of variance (CEV) model 2017Asset allocation under loss aversion and minimum performance constraint in a DC pension plan with inflation risk 2016Equilibrium investment strategy for DC pension plan with default risk and return of premiums clauses under CEV model

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2004Optimal pension management in a stochastic frameworkarticle · 3 shared references 2012Optimal asset allocation for DC pension plans under inflationarticle · 3 shared references 2008Stochastic optimal control of DC pension fundsarticle · 3 shared references 2004Optimal risk management in defined benefit stochastic pension fundsarticle · 3 shared references 2017Asset allocation under loss aversion and minimum performance constraint in a DC pension plan with inflation riskarticle · 3 shared references 2009Optimal asset allocation for aggregated defined benefit pension funds with stochastic interest ratesarticle · 3 shared references

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Year2004

Typearticle

Published2004-02-11

VenueJournal of Economic Dynamics and Control

ISSN-L0165-1889

Languageen

Citations88

Files0 public / 0

ShelfFinancial Literacy, Pension, Retirement Analysis

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doi10.1016/j.jedc.2003.10.003

openalex_workW1547590913

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2013

Markowitz’s mean–variance defined contribution pension fund management under inflation: A continuous-time model