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Pre-commitment and equilibrium investment strategies for the DC pension plan with regime switching and a return of premiums clause
16 references·1 citing·30 second hop
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References

  • 1952PORTFOLIO SELECTION*13,480 cited
  • 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
  • 1955Myopia and Inconsistency in Dynamic Utility Maximization2,834 cited
  • 1973Myopia and Inconsistency in Dynamic Utility Maximization2,743 cited
  • 2000Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework1,009 cited
  • 2000Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation994 cited
  • 2003Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model507 cited
  • 2012MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION505 cited
  • 2010A General Theory of Markovian Time Inconsistent Stochastic Control Problems343 cited
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  • 1989Stock prices, asset portfolios and macroeconomic variables in ten European countries267 cited
  • 2014A theory of Markovian time-inconsistent stochastic control in discrete time224 cited
  • 2007On the Economic Sources of Stock Market Volatility162 cited
  • 2012On efficiency of mean–variance based portfolio selection in defined contribution pension schemes106 cited
  • 2005

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Portfolio optimization in stochastic markets
82 cited
  • 2010Markowitz's Mean-Variance Asset–Liability Management with Regime Switching: A Multi-Period Model81 cited
  • Cited by

    • 2020Alpha-robust mean-variance investment strategy for DC pension plan with uncertainty about jump-diffusion risk25 cited