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ArticleOptimal portfolios for DC pension plans under a CEV model

Jianwei Gao2009

Article2009

Optimal portfolios for DC pension plans under a CEV model

119 citations·0/0 files stored·Insurance Mathematics and Economics

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

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References

1973The Pricing of Options and Corporate Liabilities 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1971Optimum consumption and portfolio rules in a continuous-time model 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case 1976The valuation of options for alternative stochastic processes 1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options 2001Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics 1989Optimal consumption and portfolio policies when asset prices follow a diffusion process

Cited by

2010Constant elasticity of variance model for proportional reinsurance and investment strategies 2012Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV model 2011Optimal Reinsurance and Investment for a Jump Diffusion Risk Process under the CEV Model 2015Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model 2015

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2010An extended CEV model and the Legendre transform–dual–asymptotic solutions for annuity contractsarticle · 12 shared references 2009Optimal investment strategy for annuity contracts under the constant elasticity of variance (CEV) modelarticle · 10 shared references 2011Portfolio selection problem with multiple risky assets under the constant elasticity of variance modelarticle · 9 shared references 2000Continuous‐Time Methods in Finance: A Review and an Assessmentarticle · 7 shared references 2017Leverage Effect, Volatility Feedback, and Self-Exciting Market Disruptionsarticle · 7 shared references 2011Optimal Reinsurance and Investment for a Jump Diffusion Risk Process under the CEV Modelarticle · 7 shared references

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Year2009

Typearticle

Published2009-02-07

VenueInsurance Mathematics and Economics

ISSN-L0167-6687

Languageen

Citations119

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.insmatheco.2009.01.005

openalex_workW1969948172

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Time-consistent reinsurance–investment strategy for an insurer and a reinsurer with mean–variance criterion under the CEV model

2013Markowitz’s mean–variance defined contribution pension fund management under inflation: A continuous-time model

2015Time-consistent mean-variance reinsurance-investment strategy for insurers under CEV model

2011Optimal reinsurance–investment problem in a constant elasticity of variance stock market for jump‐diffusion risk model