Optimal investment strategy for annuity contracts under the constant elasticity of variance (CEV) model

91 citations recorded by the source corpus.

How researchers see this paper

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

Time-consistent mean-variance reinsurance-investment strategy for insurers under CEV model (2016, background): “Recently, Xiao et al. (2007), Gao (2009a, 2009b) investigated an optimal asset allocation problem for a defined contribution pension plan under the CEV model.”
Mean–variance efficiency of DC pension plan under stochastic interest rate and mean-reverting returns (2015, methodology): “[13, 14])derived the optimal investment strategy with the stock index modeled by a constant elasticity of variance (CEV) and an extended CEV model, respectively.”
Robust optimal investment strategy for an AAM of DC pension plans with stochastic interest rate and stochastic volatility (2018, background): “Gao (2009) studies the optimal investment strategy for a DC pension plan in which the stock price is modeled by the constant elasticity of variance (CEV) model.”
Optimal management of DC pension plan in a stochastic interest rate and stochastic volatility framework (2014, unknown): “Gao [10](2009) studied the optimal investment strategy under the constant elasticity of variance (CEV) model both before and after retirement.”