Optimal investment choices post-retirement in a defined contribution pension scheme

By Russell Gerrard, Steven Haberman, Elena Vigna. 2004

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Numerical solution of the Hamilton-Jacobi-Bellman formulation for continuous time mean variance asset allocation (2010, unknown): “Financial applications include hedging futures (Duffie and Richardson, 1991), insurance (Chiu and Li, 2006; Wang et al., 2007), pension asset allocation (Gerrard et al., 2004; Hojgaard and Vigna, 2007) and optimal execution of trades (Lorenz and Almgren, 2007).”
On efficiency of mean–variance based portfolio selection in defined contribution pension schemes (2014, methodology): “The intuitive motivation for supporting such a utility function in DC schemes (Gerrard et al. 2004) 6 E.”
Markowitz’s mean–variance defined contribution pension fund management under inflation: A continuous-time model (2013, background): “Gerrard et al. (2004) extend thework of Vigna and Haberman (2001) to a continuous-time setting and the case of post-retirement.”
Optimal investment strategy for annuity contracts under the constant elasticity of variance (CEV) model (2009, background): “E-mail address: gaojianwei111@sina.com. risk in the distribution phase of defined contribution pension schemes has been dealt with in many papers, see, e.g., Albrecht and Maurer (2002), Blake et al. (2003) and Gerrard et al. (2004).”