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Alpha-robust mean-variance investment strategy for DC pension plan with uncertainty about jump-diffusion risk
16 references·0 citing·44 second hop
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References

  • 2005A Smooth Model of Decision Making under Ambiguity1,889 cited
  • 2004Differentiating ambiguity and ambiguity attitude915 cited
  • 2007Applied Stochastic Control of Jump Diffusions598 cited
  • 2012MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION505 cited
  • 2009Recursive smooth ambiguity preferences395 cited
  • 2010A General Theory of Markovian Time Inconsistent Stochastic Control Problems343 cited
  • 2005Stochastic lifestyling: Optimal dynamic asset allocation for defined contribution pension plans309 cited
  • 2002Probabilistic Sophistication and Multiple Priors144 cited
  • 2012Optimal asset allocation for DC pension plans under inflation138 cited
  • 2006The constant elasticity of variance (CEV) model and the Legendre transform–dual solution for annuity contracts127 cited
  • 2009Optimal portfolios for DC pension plans under a CEV model119 cited
  • 2014Optimal management of DC pension plan in a stochastic interest rate and stochastic volatility framework118 cited
  • 2012Robust Portfolio Choice with Uncertainty About Jump and Diffusion Risk107 cited
  • 2010Pension funds with a minimum guarantee: a stochastic control approach98 cited
  • 2018Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility

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90 cited
  • 2004Optimal design of the guarantee for defined contribution funds88 cited
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