Mean–variance efficiency of DC pension plan under stochastic interest rate and mean-reverting returns

By Guohui Guan, Zongxia Liang. 2015

57 citations recorded by the source corpus.

Subfields: Accounting, Demography, Finance

View Paper: https://www.semanticscholar.org/paper/9e1e946dba3bec51ce9db8b170ce1919cb054094

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. Elena Vigna
2. F. Menoncin
3. Huiling Wu
4. Yan Zeng
5. Guohui Guan
6. Zongxia Liang

In Demography

1. Elena Vigna
2. F. Menoncin
3. Huiling Wu
4. Yan Zeng
5. Guohui Guan
6. Zongxia Liang
7. Yang Shen

In Finance

1. Elena Vigna
2. Yan Zeng
3. Huiling Wu
4. F. Menoncin
5. Zhongfei Li
6. Yang Shen
7. Guohui Guan
8. Zongxia Liang

Citations in the corpus

• Equilibrium investment strategy for defined-contribution pension schemes with generalized mean–variance criterion and mortality risk (2015, background): “Guan and Liang (2015) generalize this problem to the case with stochastic interest rate, stochastic volatility and stochastic salary.”
• Mean–variance target-based optimisation for defined contribution pension schemes in a stochastic framework (2017, background): “Mean-variance problems for DC plans are solved in He and Liang (2013), Yao et al. (2013), Vigna (2014), Guan and Liang (2015) and Wu et al. (2015).”