Optimal asset allocation for DC pension plans under inflation

By Nan-Wei Han, Mao-Wei Hung. 2012

138 citations recorded by the source corpus.

Subfields: Accounting, Demography, Finance

View Paper: https://www.semanticscholar.org/paper/13fd09302c38bfcbd91fce6d4cfb21d6b440cfb4

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In Accounting

1. Guohui Guan
2. Ping Chen
3. Zhou Yang
4. Zongxia Liang
5. Haixiang Yao

In Demography

1. Guohui Guan
2. Zongxia Liang
3. Ping Chen
4. Zhou Yang
5. Haixiang Yao

In Finance

1. Zongxia Liang
2. Guohui Guan
3. Ping Chen
4. Zhou Yang
5. Haixiang Yao

Citations in the corpus

• Markowitz’s mean–variance defined contribution pension fund management under inflation: A continuous-time model (2013, methodology): “Zhang and Ewald (2010) and Han and Hung (2012) solve an expected power utility maximization problem with inflation by using the martingale approach and the method of stochastic control, respectively.”
• Optimal reinsurance and investment strategies for insurer under interest rate and inflation risks (2014, background): “Later, Han and Hung[18](2012) considered optimal asset allocation problem in DC pension plans with downside protection under inflation, and nominal interest rate is the CIR model.”
• Optimal Portfolio Selection with Life Insurance Under Inflation Risk (2014, background): “Dynamic asset allocation problems including stochastic interest rate and indexed bonds are investigated by Campbell and Viceira (2001), Brennan and Xia (2002), Munk et al. (2004) and Han and Hung (2012).”
• Optimal management of DC pension plan in a stochastic interest rate and stochastic volatility framework (2014, methodology): “Battocchio and Mennoncin [1](2004), Zhang et al. [29](2007), Han and Hung [17](2012) introduced inflation risk in the pension plan and derived optimal investment strategies to maximize the CRRA utility of real terminal value.”
• Nash equilibrium strategies for a defined contribution pension management (2015, unknown): “(2008), Zhang andEwald (2010), Korn et al. (2011), Di Giacinto et al. (2011), Di Giacinto and Vigna (2012), Han and Hung (2012), and Blake et al. (2013).”
• Mean–variance efficiency of DC pension plan under stochastic interest rate and mean-reverting returns (2015, background): “[29](2007), Han and Huang [19](2012) and Guan and Liang[17](2014), auxiliary processes were introduced to make the original problem with inflation risk solvable by stochastic programming.”