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

By Elena Vigna. 2014

119 citations recorded by the source corpus.

Subfields: Accounting, Demography, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/06032ffd724804907686f531b4e2840a9638c3df

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Accounting

1. Guohui Guan
2. Zongxia Liang
3. Elena Vigna
4. F. Menoncin
5. Huiling Wu
6. Yan Zeng
7. J. L. Pedersen
8. Goran Peskir

In Demography

1. Guohui Guan
2. Zongxia Liang
3. Elena Vigna
4. F. Menoncin
5. Huiling Wu
6. Yan Zeng
7. J. L. Pedersen
8. Goran Peskir

In Management Science and Operations Research

1. Guohui Guan
2. Zongxia Liang
3. J. L. Pedersen
4. F. Menoncin
5. Huiling Wu
6. Yan Zeng
7. Goran Peskir
8. Elena Vigna

Citations in the corpus

• Mean–variance efficiency of DC pension plan under stochastic interest rate and mean-reverting returns (2015, background): “Vigna [22](2014) studied the mean-variance problem for DC pension fund and proved the inefficiency of CRRA and CARA utility maximization.”
• Mean–variance target-based optimisation for defined contribution pension schemes in a stochastic framework (2017, methodology): “The relationship between targets and points on the mean-variance efficient frontier was introduced by Zhou and Li (2000), and in the context of a DC pension plan was pointed out by Vigna (2014) in a Black and Scholes financial market with constant contribution.”
• Optimal mean-variance portfolio selection (2016, background): “For applications of statically optimal controls to pension schemes see the paper by Vigna [22].”
• Nash equilibrium strategies for a defined contribution pension management (2015, background): “One reason for this delay, as Vigna (2014) said, lies in the fact that the multi-period and continuous-time versions of mean–variance problem have been produced only quite recently.”
• Equilibrium investment strategy for defined-contribution pension schemes with generalized mean–variance criterion and mortality risk (2015, background): “Vigna (2014) compares the mean–variance efficient portfolios with the optimal portfolios maximizing the expected CARA and CRRA utilities, which are proved to be not mean–variance efficient.”
• Optimal management of DC pension plan in a stochastic interest rate and stochastic volatility framework (2014, methodology): “Later Haberman and Vigna [16] formulated the model of DC pension fund in a market with n risk assets and studied downside risk for the pension member at the same time.”