Optimal portfolios for DC pension plans under a CEV model

By Jian-wei Gao. 2009

138 citations recorded by the source corpus.

Subfields: Demography, Finance

View Paper: https://www.semanticscholar.org/paper/3affe34074877c7316baa537ad5ab78050c2a564

How researchers see this paper

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

In Demography

1. Yipeng Yang
2. Xiang Lin
3. Ping Chen
4. Jingyi Zhang
5. Yanfang Li
6. Zhou Yang
7. Haixiang Yao
8. Shoude Li

In Finance

1. Yipeng Yang
2. Xiang Lin
3. Ping Chen
4. Jingyi Zhang
5. Yanfang Li
6. Zhou Yang
7. Haixiang Yao
8. Shoude Li

Citations in the corpus

• Constant elasticity of variance model for proportional reinsurance and investment strategies (2010, methodology): “Recently, Xiao et al. (2007) and Gao (2009) used the CEV model to the pension investment.”
• Markowitz’s mean–variance defined contribution pension fund management under inflation: A continuous-time model (2013, methodology): “Xiao et al. (2007), Gao (2009, 2010) investigate the optimal portfolios under a constant elasticity of variance (CEV) model by applying the Legendre transform and the dual theory.”
• Optimal Reinsurance and Investment for a Jump Diffusion Risk Process under the CEV Model (2011, background): “Recently, Xiao et al. (2007) and Gao (2009a, 2009b) investigated an optimal asset allocation problem for a defined contribution pension plan under the CEV model.”