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ArticleNash equilibrium strategies for a defined contribution pension management

Huiling Wu2015

Article2015

Nash equilibrium strategies for a defined contribution pension management

Huiling Wu · Ling Zhang · Hua Chen

47 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

1952PORTFOLIO SELECTION*1955Myopia and Inconsistency in Dynamic Utility Maximization 1973Myopia and Inconsistency in Dynamic Utility Maximization 2010Dynamic Mean-Variance Asset Allocation 2012MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION 2010A General Theory of Markovian Time Inconsistent Stochastic Control Problems 2005Stochastic lifestyling: Optimal dynamic asset allocation for defined contribution pension plans 2001Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund

Cited by

2017Mean–variance target-based optimisation for defined contribution pension schemes in a stochastic framework 2019Equilibrium investment strategy for a defined contribution pension plan under stochastic interest rate and stochastic volatility 2021Equilibrium investment strategy for a DC pension plan with learning about stock return predictability 2019Robust portfolio choice for a DC pension plan with inflation risk and mean-reverting risk premium under ambiguity 2019A Stackelberg Game of Backward Stochastic Differential Equations with Applications

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Year2015

Typearticle

Published2015-04-05

VenueInsurance Mathematics and Economics

ISSN-L0167-6687

Languageen

Citations47

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.insmatheco.2015.03.014

openalex_workW2066476153

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2016A stochastic Nash equilibrium portfolio game between two DC pension funds

2018Pre-commitment and equilibrium investment strategies for the DC pension plan with regime switching and a return of premiums clause

2018A Data Driven Neural Network Approach to Optimal Asset Allocation for Target Based Defined Contribution Pension Plans