Forsyth, Peter A.; Van Staden, Pieter M.; Li, Yuying Beating a constant weight benchmark: easier done than said. (English) Zbl 07793171 Int. J. Theor. Appl. Finance 26, No. 4-5, Article ID 2350011, 24 p. (2023). MSC: 91G10 93E20 PDFBibTeX XMLCite \textit{P. A. Forsyth} et al., Int. J. Theor. Appl. Finance 26, No. 4--5, Article ID 2350011, 24 p. (2023; Zbl 07793171) Full Text: DOI
Escobar-Anel, Marcos; Theilacker, Lorenz; Zagst, Rudi Revisiting the \(1/N\)-strategy: a neural network framework for optimal strategies. (English) Zbl 07767337 Decis. Econ. Finance 46, No. 2, 505-542 (2023); correction ibid. 46, No. 2, 543 (2023). MSC: 91G10 91B16 PDFBibTeX XMLCite \textit{M. Escobar-Anel} et al., Decis. Econ. Finance 46, No. 2, 505--542 (2023; Zbl 07767337) Full Text: DOI
Van Staden, Pieter M.; Forsyth, Peter A.; Li, Yuying Beating a benchmark: dynamic programming may not be the right numerical approach. (English) Zbl 1516.91055 SIAM J. Financ. Math. 14, No. 2, 407-451 (2023). MSC: 91G10 93E20 PDFBibTeX XMLCite \textit{P. M. Van Staden} et al., SIAM J. Financ. Math. 14, No. 2, 407--451 (2023; Zbl 1516.91055) Full Text: DOI
Bian, Lihua; Yao, Haixiang Equilibrium investment strategy for multi-period DC pension funds with stochastic interest rate and regime switching. (English) Zbl 1524.91082 J. Ind. Manag. Optim. 19, No. 8, 5984-6011 (2023). MSC: 91G05 91G30 91A10 91A80 PDFBibTeX XMLCite \textit{L. Bian} and \textit{H. Yao}, J. Ind. Manag. Optim. 19, No. 8, 5984--6011 (2023; Zbl 1524.91082) Full Text: DOI
Liu, Zilan; Zhang, Huanying; He, Lei Optimal assets allocation and benefit adjustment strategy with longevity risk for target benefit pension plans. (English) Zbl 07668911 J. Ind. Manag. Optim. 19, No. 6, 3931-3951 (2023). MSC: 91G05 60H30 93E20 PDFBibTeX XMLCite \textit{Z. Liu} et al., J. Ind. Manag. Optim. 19, No. 6, 3931--3951 (2023; Zbl 07668911) Full Text: DOI
Guan, Guohui; Liang, Zongxia; Xia, Yi Optimal management of DC pension fund under the relative performance ratio and VaR constraint. (English) Zbl 07619290 Eur. J. Oper. Res. 305, No. 2, 868-886 (2023). MSC: 91G05 91G10 93E20 PDFBibTeX XMLCite \textit{G. Guan} et al., Eur. J. Oper. Res. 305, No. 2, 868--886 (2023; Zbl 07619290) Full Text: DOI arXiv
Forsyth, Peter A.; Vetzal, Kenneth R. Multi-period mean expected-shortfall strategies: ‘cut your losses and ride your gains’. (English) Zbl 1520.91367 Appl. Math. Finance 29, No. 5, 402-438 (2022). MSC: 91G10 91G70 93E20 PDFBibTeX XMLCite \textit{P. A. Forsyth} and \textit{K. R. Vetzal}, Appl. Math. Finance 29, No. 5, 402--438 (2022; Zbl 1520.91367) Full Text: DOI
Bian, Li-Hua; Li, Xing-Yi; Li, Zhong-Fei Time-consistent investment strategies for a DC pension member with stochastic interest rate and stochastic income. (English) Zbl 1513.91059 J. Oper. Res. Soc. China 10, No. 3, 559-577 (2022). MSC: 91G05 93E20 PDFBibTeX XMLCite \textit{L.-H. Bian} et al., J. Oper. Res. Soc. China 10, No. 3, 559--577 (2022; Zbl 1513.91059) Full Text: DOI
Cui, Xiang-Yu; Li, Duan; Qiao, Xiao; Strub, Moris S. Risk and potential: an asset allocation framework with applications to robo-advising. (English) Zbl 1513.91072 J. Oper. Res. Soc. China 10, No. 3, 529-558 (2022). MSC: 91G10 91B16 PDFBibTeX XMLCite \textit{X.-Y. Cui} et al., J. Oper. Res. Soc. China 10, No. 3, 529--558 (2022; Zbl 1513.91072) Full Text: DOI
Forsyth, Peter A. A stochastic control approach to defined contribution plan decumulation: “The nastiest, hardest problem in finance”. (English) Zbl 1497.91264 N. Am. Actuar. J. 26, No. 2, 227-251 (2022). MSC: 91G05 93E20 PDFBibTeX XMLCite \textit{P. A. Forsyth}, N. Am. Actuar. J. 26, No. 2, 227--251 (2022; Zbl 1497.91264) Full Text: DOI arXiv
Zhao, Hui; Wang, Suxin Optimal investment and benefit adjustment problem for a target benefit pension plan with Cobb-Douglas utility and Epstein-Zin recursive utility. (English) Zbl 1506.91161 Eur. J. Oper. Res. 301, No. 3, 1166-1180 (2022). MSC: 91G10 91B16 93E20 PDFBibTeX XMLCite \textit{H. Zhao} and \textit{S. Wang}, Eur. J. Oper. Res. 301, No. 3, 1166--1180 (2022; Zbl 1506.91161) Full Text: DOI
Vigna, Elena Tail optimality and preferences consistency for intertemporal optimization problems. (English) Zbl 1486.49040 SIAM J. Financ. Math. 13, No. 1, 295-320 (2022). MSC: 49L20 60G99 60J99 90C39 91G10 PDFBibTeX XMLCite \textit{E. Vigna}, SIAM J. Financ. Math. 13, No. 1, 295--320 (2022; Zbl 1486.49040) Full Text: DOI
Baltas, I.; Dopierala, L.; Kolodziejczyk, K.; Szczepański, M.; Weber, G.-W.; Yannacopoulos, A. N. Optimal management of defined contribution pension funds under the effect of inflation, mortality and uncertainty. (English) Zbl 1490.91181 Eur. J. Oper. Res. 298, No. 3, 1162-1174 (2022). MSC: 91G10 90C39 93E20 PDFBibTeX XMLCite \textit{I. Baltas} et al., Eur. J. Oper. Res. 298, No. 3, 1162--1174 (2022; Zbl 1490.91181) Full Text: DOI
Yao, Haixiang; Chen, Ping; Zhang, Miao; Li, Xun Dynamic discrete-time portfolio selection for defined contribution pension funds with inflation risk. (English) Zbl 1499.91124 J. Ind. Manag. Optim. 18, No. 1, 511-540 (2022). MSC: 91G10 60J60 PDFBibTeX XMLCite \textit{H. Yao} et al., J. Ind. Manag. Optim. 18, No. 1, 511--540 (2022; Zbl 1499.91124) Full Text: DOI
Bosserhoff, Frank; Stadje, Mitja Time-consistent mean-variance investment with unit linked life insurance contracts in a jump-diffusion setting. (English) Zbl 1479.91306 Insur. Math. Econ. 100, 130-146 (2021). Reviewer: Tak Kuen Siu (Sydney) MSC: 91G05 91G10 45K05 49L12 PDFBibTeX XMLCite \textit{F. Bosserhoff} and \textit{M. Stadje}, Insur. Math. Econ. 100, 130--146 (2021; Zbl 1479.91306) Full Text: DOI arXiv
Wang, Liyuan; Chen, Zhiping; Yang, Peng Robust equilibrium control-measure policy for a DC pension plan with state-dependent risk aversion under mean-variance criterion. (English) Zbl 1476.90163 J. Ind. Manag. Optim. 17, No. 3, 1203-1233 (2021). MSC: 90B50 93E20 91G80 91A10 PDFBibTeX XMLCite \textit{L. Wang} et al., J. Ind. Manag. Optim. 17, No. 3, 1203--1233 (2021; Zbl 1476.90163) Full Text: DOI
van Staden, Pieter M.; Dang, Duy-Minh; Forsyth, Peter A. The surprising robustness of dynamic mean-variance portfolio optimization to model misspecification errors. (English) Zbl 1487.91130 Eur. J. Oper. Res. 289, No. 2, 774-792 (2021). MSC: 91G10 93E20 PDFBibTeX XMLCite \textit{P. M. van Staden} et al., Eur. J. Oper. Res. 289, No. 2, 774--792 (2021; Zbl 1487.91130) Full Text: DOI
van Staden, Pieter M.; Dang, Duy-Minh; Forsyth, Peter A. On the distribution of terminal wealth under dynamic mean-variance optimal investment strategies. (English) Zbl 1465.91102 SIAM J. Financ. Math. 12, No. 2, 566-603 (2021). MSC: 91G10 93E20 PDFBibTeX XMLCite \textit{P. M. van Staden} et al., SIAM J. Financ. Math. 12, No. 2, 566--603 (2021; Zbl 1465.91102) Full Text: DOI
Chavez-Bedoya, Luis; Castaneda, Ranu A benchmarking approach to track and compare administrative charges on flow and balance in individual account pension systems. (English) Zbl 1460.91214 Insur. Math. Econ. 97, 7-23 (2021). MSC: 91G05 PDFBibTeX XMLCite \textit{L. Chavez-Bedoya} and \textit{R. Castaneda}, Insur. Math. Econ. 97, 7--23 (2021; Zbl 1460.91214) Full Text: DOI
Wu, Huiling; Wang, Xiuguo; Liu, Yuanyuan; Zeng, Li Multi-period optimal investment choice post-retirement with inter-temporal restrictions in a defined contribution pension plan. (English) Zbl 1476.91160 J. Ind. Manag. Optim. 16, No. 6, 2857-2890 (2020). MSC: 91G10 91G80 90C90 PDFBibTeX XMLCite \textit{H. Wu} et al., J. Ind. Manag. Optim. 16, No. 6, 2857--2890 (2020; Zbl 1476.91160) Full Text: DOI
Christensen, Sören; Lindensjö, Kristoffer Time-inconsistent stopping, myopic adjustment and equilibrium stability: with a mean-variance application. (English) Zbl 1460.60026 Jakubowski, Jacek (ed.) et al., Stochastic modeling and control. Based on the Simons semester, Warsaw, Poland, January 2 – March 31, 2019. Warsaw: Polish Academy of Sciences, Institute of Mathematics. Banach Cent. Publ. 122, 53-76 (2020). MSC: 60G40 91A25 PDFBibTeX XMLCite \textit{S. Christensen} and \textit{K. Lindensjö}, Banach Cent. Publ. 122, 53--76 (2020; Zbl 1460.60026) Full Text: DOI arXiv
Vigna, Elena On time consistency for mean-variance portfolio selection. (English) Zbl 1457.91352 Int. J. Theor. Appl. Finance 23, No. 6, Article ID 2050042, 22 p. (2020). MSC: 91G10 90C39 PDFBibTeX XMLCite \textit{E. Vigna}, Int. J. Theor. Appl. Finance 23, No. 6, Article ID 2050042, 22 p. (2020; Zbl 1457.91352) Full Text: DOI
Song, Aimin; Chen, Peimin Relative performance concern on DC pension plan under Heston model with inflation risk. (English) Zbl 1459.91183 Math. Probl. Eng. 2020, Article ID 5180286, 14 p. (2020). MSC: 91G10 91G50 60H30 PDFBibTeX XMLCite \textit{A. Song} and \textit{P. Chen}, Math. Probl. Eng. 2020, Article ID 5180286, 14 p. (2020; Zbl 1459.91183) Full Text: DOI
Dadashi, Hassan Optimal investment-consumption problem: post-retirement with minimum guarantee. (English) Zbl 1457.91327 Insur. Math. Econ. 94, 160-181 (2020). Reviewer: Hanspeter Schmidli (Köln) MSC: 91G05 93E20 65N06 PDFBibTeX XMLCite \textit{H. Dadashi}, Insur. Math. Econ. 94, 160--181 (2020; Zbl 1457.91327) Full Text: DOI arXiv
Menoncin, Francesco; Vigna, Elena Mean-variance dynamic optimality for DC pension schemes. (English) Zbl 1452.91275 Eur. Actuar. J. 10, No. 1, 125-148 (2020). MSC: 91G05 91G10 90C39 PDFBibTeX XMLCite \textit{F. Menoncin} and \textit{E. Vigna}, Eur. Actuar. J. 10, No. 1, 125--148 (2020; Zbl 1452.91275) Full Text: DOI Link
Forsyth, Peter A. Optimal dynamic asset allocation for DC plan accumulation/decumulation: ambition-CVaR. (English) Zbl 1447.91137 Insur. Math. Econ. 93, 230-245 (2020). MSC: 91G05 91G10 91G70 PDFBibTeX XMLCite \textit{P. A. Forsyth}, Insur. Math. Econ. 93, 230--245 (2020; Zbl 1447.91137) Full Text: DOI
Forsyth, Peter A. Multiperiod mean conditional value at risk asset allocation: is it advantageous to be time consistent? (English) Zbl 1443.91341 SIAM J. Financ. Math. 11, No. 2, 358-384 (2020). MSC: 91G70 91G60 65N06 65N12 PDFBibTeX XMLCite \textit{P. A. Forsyth}, SIAM J. Financ. Math. 11, No. 2, 358--384 (2020; Zbl 1443.91341) Full Text: DOI Link
Zhang, Ling; Li, Danping; Lai, Yongzeng Equilibrium investment strategy for a defined contribution pension plan under stochastic interest rate and stochastic volatility. (English) Zbl 1442.91082 J. Comput. Appl. Math. 368, Article ID 112536, 21 p. (2020). Reviewer: Hanspeter Schmidli (Köln) MSC: 91G05 91G30 PDFBibTeX XMLCite \textit{L. Zhang} et al., J. Comput. Appl. Math. 368, Article ID 112536, 21 p. (2020; Zbl 1442.91082) Full Text: DOI
Dadashi, Hassan Optimal investment strategy post retirement without ruin possibility: a numerical algorithm. (English) Zbl 1422.91762 J. Comput. Appl. Math. 363, 325-336 (2020). MSC: 91G60 65N06 91G10 60H35 60J70 93E20 PDFBibTeX XMLCite \textit{H. Dadashi}, J. Comput. Appl. Math. 363, 325--336 (2020; Zbl 1422.91762) Full Text: DOI
Chen, Zhiping; Wang, Liyuan; Chen, Ping; Yao, Haixiang Continuous-time mean-variance optimization for defined contribution pension funds with regime-switching. (English) Zbl 1426.91208 Int. J. Theor. Appl. Finance 22, No. 6, Article ID 1950029, 33 p. (2019). MSC: 91G05 PDFBibTeX XMLCite \textit{Z. Chen} et al., Int. J. Theor. Appl. Finance 22, No. 6, Article ID 1950029, 33 p. (2019; Zbl 1426.91208) Full Text: DOI
Forsyth, Peter A.; Vetzal, Kenneth R.; Westmacott, Graham Management of portfolio depletion risk through optimal life cycle asset allocation. (English) Zbl 1426.91218 N. Am. Actuar. J. 23, No. 3, 447-468 (2019). MSC: 91G05 91G10 93E20 PDFBibTeX XMLCite \textit{P. A. Forsyth} et al., N. Am. Actuar. J. 23, No. 3, 447--468 (2019; Zbl 1426.91218) Full Text: DOI
Mudzimbabwe, Walter A simple numerical solution for an optimal investment strategy for a DC pension plan in a jump diffusion model. (English) Zbl 1419.49033 J. Comput. Appl. Math. 360, 55-61 (2019). MSC: 49L20 49K15 45J05 91B30 PDFBibTeX XMLCite \textit{W. Mudzimbabwe}, J. Comput. Appl. Math. 360, 55--61 (2019; Zbl 1419.49033) Full Text: DOI
Lin, Chuangwei; Zeng, Li; Wu, Huiling Multi-period portfolio optimization in a defined contribution pension plan during the decumulation phase. (English) Zbl 1415.91267 J. Ind. Manag. Optim. 15, No. 1, 401-427 (2019). MSC: 91G10 91G80 90C90 PDFBibTeX XMLCite \textit{C. Lin} et al., J. Ind. Manag. Optim. 15, No. 1, 401--427 (2019; Zbl 1415.91267) Full Text: DOI
Forsyth, Peter A.; Vetzal, Kenneth R. Optimal asset allocation for retirement saving: deterministic vs. time consistent adaptive strategies. (English) Zbl 1410.91413 Appl. Math. Finance 26, No. 1, 1-37 (2019). MSC: 91G10 62P05 PDFBibTeX XMLCite \textit{P. A. Forsyth} and \textit{K. R. Vetzal}, Appl. Math. Finance 26, No. 1, 1--37 (2019; Zbl 1410.91413) Full Text: DOI
Li, Yuying; Forsyth, Peter A. A data-driven neural network approach to optimal asset allocation for target based defined contribution pension plans. (English) Zbl 1411.91304 Insur. Math. Econ. 86, 189-204 (2019). MSC: 91B30 93E20 68T05 PDFBibTeX XMLCite \textit{Y. Li} and \textit{P. A. Forsyth}, Insur. Math. Econ. 86, 189--204 (2019; Zbl 1411.91304) Full Text: DOI
Sun, Jingyun; Li, Yongjun; Zhang, Ling Robust portfolio choice for a defined contribution pension plan with stochastic income and interest rate. (English) Zbl 1508.91513 Commun. Stat., Theory Methods 47, No. 17, 4106-4130 (2018). MSC: 91G10 93E20 PDFBibTeX XMLCite \textit{J. Sun} et al., Commun. Stat., Theory Methods 47, No. 17, 4106--4130 (2018; Zbl 1508.91513) Full Text: DOI
Wang, Liyuan; Chen, Zhiping Nash equilibrium strategy for a DC pension plan with state-dependent risk aversion: a multiperiod mean-variance framework. (English) Zbl 1422.91670 Discrete Dyn. Nat. Soc. 2018, Article ID 7581231, 17 p. (2018). MSC: 91G10 PDFBibTeX XMLCite \textit{L. Wang} and \textit{Z. Chen}, Discrete Dyn. Nat. Soc. 2018, Article ID 7581231, 17 p. (2018; Zbl 1422.91670) Full Text: DOI
Van Staden, Pieter M.; Dang, Duy-Minh; Forsyth, Peter A. Time-consistent mean-variance portfolio optimization: a numerical impulse control approach. (English) Zbl 1417.91558 Insur. Math. Econ. 83, 9-28 (2018). MSC: 91G60 91B30 91G10 93E20 65M99 PDFBibTeX XMLCite \textit{P. M. Van Staden} et al., Insur. Math. Econ. 83, 9--28 (2018; Zbl 1417.91558) Full Text: DOI
Bian, Lihua; Li, Zhongfei; Yao, Haixiang Pre-commitment and equilibrium investment strategies for the DC pension plan with regime switching and a return of premiums clause. (English) Zbl 1416.91159 Insur. Math. Econ. 81, 78-94 (2018). MSC: 91B30 60J20 90C39 91G10 PDFBibTeX XMLCite \textit{L. Bian} et al., Insur. Math. Econ. 81, 78--94 (2018; Zbl 1416.91159) Full Text: DOI
Zhang, Ling; Zhang, Hao; Yao, Haixiang Optimal investment management for a defined contribution pension fund under imperfect information. (English) Zbl 1401.91214 Insur. Math. Econ. 79, 210-224 (2018). MSC: 91B30 60J20 91G10 PDFBibTeX XMLCite \textit{L. Zhang} et al., Insur. Math. Econ. 79, 210--224 (2018; Zbl 1401.91214) Full Text: DOI
Dang, Duy-Minh; Forsyth, P. A.; Vetzal, K. R. The 4% strategy revisited: a pre-commitment mean-variance optimal approach to wealth management. (English) Zbl 1402.91682 Quant. Finance 17, No. 3, 335-351 (2017). MSC: 91G10 PDFBibTeX XMLCite \textit{D.-M. Dang} et al., Quant. Finance 17, No. 3, 335--351 (2017; Zbl 1402.91682) Full Text: DOI
Cong, F.; Oosterlee, C. W. On robust multi-period pre-commitment and time-consistent mean-variance portfolio optimization. (English) Zbl 1415.91257 Int. J. Theor. Appl. Finance 20, No. 7, Article ID 1750049, 26 p. (2017). MSC: 91G10 93E20 91G60 PDFBibTeX XMLCite \textit{F. Cong} and \textit{C. W. Oosterlee}, Int. J. Theor. Appl. Finance 20, No. 7, Article ID 1750049, 26 p. (2017; Zbl 1415.91257) Full Text: DOI
Menoncin, Francesco; Vigna, Elena Mean-variance target-based optimisation for defined contribution pension schemes in a stochastic framework. (English) Zbl 1396.91307 Insur. Math. Econ. 76, 172-184 (2017). MSC: 91B30 91G10 93E20 PDFBibTeX XMLCite \textit{F. Menoncin} and \textit{E. Vigna}, Insur. Math. Econ. 76, 172--184 (2017; Zbl 1396.91307) Full Text: DOI
Forsyth, P. A.; Vetzal, K. R. Robust asset allocation for long-term target-based investing. (English) Zbl 1396.91686 Int. J. Theor. Appl. Finance 20, No. 3, Article ID 1750017, 32 p. (2017). MSC: 91G10 62P05 PDFBibTeX XMLCite \textit{P. A. Forsyth} and \textit{K. R. Vetzal}, Int. J. Theor. Appl. Finance 20, No. 3, Article ID 1750017, 32 p. (2017; Zbl 1396.91686) Full Text: DOI
Pedersen, Jesper Lund; Peskir, Goran Optimal mean-variance portfolio selection. (English) Zbl 1390.91285 Math. Financ. Econ. 11, No. 2, 137-160 (2017). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91G10 49L20 60H30 93E20 PDFBibTeX XMLCite \textit{J. L. Pedersen} and \textit{G. Peskir}, Math. Financ. Econ. 11, No. 2, 137--160 (2017; Zbl 1390.91285) Full Text: DOI
Yao, Haixiang; Li, Xun; Hao, Zhifeng; Li, Yong Dynamic asset-liability management in a Markov market with stochastic cash flows. (English) Zbl 1400.91570 Quant. Finance 16, No. 10, 1575-1597 (2016). MSC: 91G10 PDFBibTeX XMLCite \textit{H. Yao} et al., Quant. Finance 16, No. 10, 1575--1597 (2016; Zbl 1400.91570) Full Text: DOI
Yao, Haixiang; Li, Zhongfei; Li, Xingyi The premium of dynamic trading in a discrete-time setting. (English) Zbl 1400.91571 Quant. Finance 16, No. 8, 1237-1257 (2016). MSC: 91G10 PDFBibTeX XMLCite \textit{H. Yao} et al., Quant. Finance 16, No. 8, 1237--1257 (2016; Zbl 1400.91571) Full Text: DOI
Sun, Jingyun; Li, Zhongfei; Li, Yongwu Equilibrium investment strategy for DC pension plan with inflation and stochastic income under Heston’s SV model. (English) Zbl 1400.91563 Math. Probl. Eng. 2016, Article ID 2391849, 18 p. (2016). MSC: 91G10 PDFBibTeX XMLCite \textit{J. Sun} et al., Math. Probl. Eng. 2016, Article ID 2391849, 18 p. (2016; Zbl 1400.91563) Full Text: DOI
Cong, F.; Oosterlee, C. W. On pre-commitment aspects of a time-consistent strategy for a mean-variance investor. (English) Zbl 1401.91512 J. Econ. Dyn. Control 70, 178-193 (2016). MSC: 91G10 PDFBibTeX XMLCite \textit{F. Cong} and \textit{C. W. Oosterlee}, J. Econ. Dyn. Control 70, 178--193 (2016; Zbl 1401.91512) Full Text: DOI Link
Yao, Haixiang; Chen, Ping; Li, Xun Multi-period defined contribution pension funds investment management with regime-switching and mortality risk. (English) Zbl 1371.91171 Insur. Math. Econ. 71, 103-113 (2016). MSC: 91G10 91B30 93E20 PDFBibTeX XMLCite \textit{H. Yao} et al., Insur. Math. Econ. 71, 103--113 (2016; Zbl 1371.91171) Full Text: DOI Link
Dang, D. M.; Forsyth, P. A. Better than pre-commitment mean-variance portfolio allocation strategies: a semi-self-financing Hamilton-Jacobi-Bellman equation approach. (English) Zbl 1348.91250 Eur. J. Oper. Res. 250, No. 3, 827-841 (2016). MSC: 91G10 35Q91 49L20 60H30 62P05 93E20 PDFBibTeX XMLCite \textit{D. M. Dang} and \textit{P. A. Forsyth}, Eur. J. Oper. Res. 250, No. 3, 827--841 (2016; Zbl 1348.91250) Full Text: DOI
Dang, Duy-Minh; Forsyth, Peter A.; Li, Yuying Convergence of the embedded mean-variance optimal points with discrete sampling. (English) Zbl 1408.65039 Numer. Math. 132, No. 2, 271-302 (2016). MSC: 65K10 91G60 93C20 93E20 PDFBibTeX XMLCite \textit{D.-M. Dang} et al., Numer. Math. 132, No. 2, 271--302 (2016; Zbl 1408.65039) Full Text: DOI
Wu, Huiling; Zeng, Yan Equilibrium investment strategy for defined-contribution pension schemes with generalized mean-variance criterion and mortality risk. (English) Zbl 1348.91262 Insur. Math. Econ. 64, 396-408 (2015). MSC: 91G10 91B30 93E20 PDFBibTeX XMLCite \textit{H. Wu} and \textit{Y. Zeng}, Insur. Math. Econ. 64, 396--408 (2015; Zbl 1348.91262) Full Text: DOI
Guan, Guohui; Liang, Zongxia Mean-variance efficiency of DC pension plan under stochastic interest rate and mean-reverting returns. (English) Zbl 1318.91115 Insur. Math. Econ. 61, 99-109 (2015). Reviewer: Tak Kuen Siu (Sydney) MSC: 91B30 91G10 60H30 91G30 93E20 PDFBibTeX XMLCite \textit{G. Guan} and \textit{Z. Liang}, Insur. Math. Econ. 61, 99--109 (2015; Zbl 1318.91115) Full Text: DOI
Wu, Huiling; Zhang, Ling; Chen, Hua Nash equilibrium strategies for a defined contribution pension management. (English) Zbl 1318.91125 Insur. Math. Econ. 62, 202-214 (2015). MSC: 91B30 91A80 91G10 93E20 PDFBibTeX XMLCite \textit{H. Wu} et al., Insur. Math. Econ. 62, 202--214 (2015; Zbl 1318.91125) Full Text: DOI
Di Giacinto, Marina; Federico, Salvatore; Gozzi, Fausto; Vigna, Elena Income drawdown option with minimum guarantee. (English) Zbl 1304.91187 Eur. J. Oper. Res. 234, No. 3, 610-624 (2014). MSC: 91G10 93E20 91B30 PDFBibTeX XMLCite \textit{M. Di Giacinto} et al., Eur. J. Oper. Res. 234, No. 3, 610--624 (2014; Zbl 1304.91187) Full Text: DOI Link
Guan, Guohui; Liang, Zongxia Optimal management of DC pension plan in a stochastic interest rate and stochastic volatility framework. (English) Zbl 1304.91193 Insur. Math. Econ. 57, 58-66 (2014). MSC: 91G10 91G30 93E20 90C15 90C39 91B70 PDFBibTeX XMLCite \textit{G. Guan} and \textit{Z. Liang}, Insur. Math. Econ. 57, 58--66 (2014; Zbl 1304.91193) Full Text: DOI
Dang, Duy-Minh; Forsyth, Peter A. Continuous time mean-variance optimal portfolio allocation under jump diffusion: an numerical impulse control approach. (English) Zbl 1284.91569 Numer. Methods Partial Differ. Equations 30, No. 2, 664-698 (2014). MSC: 91G60 91G10 60J75 45K05 65K10 PDFBibTeX XMLCite \textit{D.-M. Dang} and \textit{P. A. Forsyth}, Numer. Methods Partial Differ. Equations 30, No. 2, 664--698 (2014; Zbl 1284.91569) Full Text: DOI