Mean–variance target-based optimisation for defined contribution pension schemes in a stochastic framework

Insurance Mathematics and Economics ◽

10.1016/j.insmatheco.2017.08.002 ◽

2017 ◽

Vol 76 ◽

pp. 172-184 ◽

Author(s):

Francesco Menoncin ◽

Elena Vigna

Keyword(s):

Defined Contribution ◽

Pension Schemes ◽

Stochastic Framework ◽

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Equilibrium investment strategy for defined-contribution pension schemes with generalized mean–variance criterion and mortality risk

Insurance Mathematics and Economics ◽

10.1016/j.insmatheco.2015.07.007 ◽

2015 ◽

Vol 64 ◽

pp. 396-408 ◽

Author(s):

Huiling Wu ◽

Yan Zeng

Keyword(s):

Mortality Risk ◽

Investment Strategy ◽

Defined Contribution ◽

Pension Schemes ◽

Generalized Mean ◽

Mean Variance ◽

Variance Criterion

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On efficiency of mean–variance based portfolio selection in defined contribution pension schemes

Quantitative Finance ◽

10.1080/14697688.2012.708778 ◽

2012 ◽

Vol 14 (2) ◽

pp. 237-258 ◽

Author(s):

Elena Vigna

Keyword(s):

Portfolio Selection ◽

Defined Contribution ◽

Pension Schemes ◽

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Sostenibilità Finanziaria e Rischio Politico Degli Schemi Pensionistici A Contribuzione Definita: Una Prospettiva Macroprudenziale (Financial Sustainability and Political Risk for Defined Contribution Pension Schemes: A Macroprudential Perspective)

SSRN Electronic Journal ◽

10.2139/ssrn.1881008 ◽

2011 ◽

Author(s):

Giuseppe Marotta

Keyword(s):

Political Risk ◽

Financial Sustainability ◽

Defined Contribution ◽

Pension Schemes

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Optimal time-consistent portfolio and contribution selection for defined benefit pension schemes under mean–variance criterion

ANZIAM Journal ◽

10.21914/anziamj.v56i0.7622 ◽

2014 ◽

Vol 56 ◽

pp. 66

Author(s):

Xiaoqing Liang ◽

Lihua Bai ◽

Junyi Guo

Keyword(s):

Optimal Time ◽

Defined Benefit ◽

Pension Schemes ◽

Selection For ◽

Mean Variance ◽

Variance Criterion

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Pension Design and Risk Sharing: Mixed Solutions Between Defined Benefit and Defined Contribution for Public Pension Schemes

Economic Challenges of Pension Systems ◽

10.1007/978-3-030-37912-4_14 ◽

2020 ◽

pp. 311-339

Author(s):

Pierre Devolder ◽

Sébastien de Valeriola

Keyword(s):

Risk Sharing ◽

Public Pension ◽

Defined Benefit ◽

Defined Contribution ◽

Pension Schemes ◽

Mixed Solutions

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Defined Contribution Pension Schemes - The Accumulation Phase

Pension Finance ◽

10.1002/9781119208945.ch4 ◽

2015 ◽

pp. 101-144

Keyword(s):

Defined Contribution ◽

Pension Schemes ◽

Accumulation Phase

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Notional Defined Contribution (NDC) Pension Schemes and Income Patterns

Economics The Open-Access Open-Assessment E-Journal ◽

10.5018/economics-ejournal.ja.2013-29 ◽

2013 ◽

Vol 7 (2013-29) ◽

pp. 1 ◽

Author(s):

Sergio Nisticò ◽

Mirko Bevilacqua

Keyword(s):

Defined Contribution ◽

Pension Schemes ◽

Notional Defined Contribution

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Mean-variance investment strategy with proportional transaction costs and withdrawal process for a defined contribution pension scheme

International Journal of Operational Research ◽

10.1504/ijor.2019.097577 ◽

2019 ◽

Vol 34 (2) ◽

pp. 213

Author(s):

Charles I. Nkeki

Keyword(s):

Transaction Costs ◽

Investment Strategy ◽

Pension Scheme ◽

Defined Contribution ◽

Proportional Transaction Costs ◽

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Mean-variance investment strategy with proportional transaction costs and withdrawal process for a defined contribution pension scheme

International Journal of Operational Research ◽

10.1504/ijor.2019.10018753 ◽

2019 ◽

Vol 34 (2) ◽

pp. 213

Author(s):

Charles I. Nkeki

Keyword(s):

Transaction Costs ◽

Investment Strategy ◽

Pension Scheme ◽

Defined Contribution ◽

Proportional Transaction Costs ◽

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Hedging Longevity Risk in Defined Contribution Pension Schemes

SSRN Electronic Journal ◽

10.2139/ssrn.3850559 ◽

2021 ◽

Author(s):

Ankush Agarwal ◽

Christian-Oliver Ewald ◽

Yongjie Wang

Keyword(s):

Longevity Risk ◽

Defined Contribution ◽

Pension Schemes

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