Asset allocation under loss aversion and minimum performance constraint in a DC pension plan with inflation risk

Robust equilibrium control-measure policy for a DC pension plan with state-dependent risk aversion under mean-variance criterion

“…Note that in equation 3, the labor income is influenced by the risk sources both from the financial and non-financial markets. This assumption is consistent with the studies in Battocchio and Menoncin [4] and Cairns et al [9], but is different from the studies in Deelstra et al [14], Bodie et al [8] and Chen et al [10], where they all assume that the labor income is only influenced by the risk from the financial market.…”

Optimal Excess-of-Loss Reinsurance and Investment Problem for Insurers with Loss Aversion

“…Guan and Liang [16] derived the optimal investment strategies for DC pension plan under loss aversion and Value-at-Risk (VaR) constraints, of which the sensitivity analysis showed that the loss aversion pension manager has a complex behavior and may invest more or less on the risk assets based on the reference point. Chen et al [17] further studied the same investment problem for DC pension under loss aversion, which paid close attention to inflation and longevity risk and constructed a minimum performance constraint to guarantee the elementary needs of the member after retirement. Based on the Chen et al [17], Dong and Zheng [18] added the short-selling constraints to the DC plan, then the market become incomplete and the martingale method was not applicable, so they used dual control method and HJB equation to solve the problem and derive the explicit expressions of the optimal wealth process and optimal strategies.…”

“…Chen et al [17] further studied the same investment problem for DC pension under loss aversion, which paid close attention to inflation and longevity risk and constructed a minimum performance constraint to guarantee the elementary needs of the member after retirement. Based on the Chen et al [17], Dong and Zheng [18] added the short-selling constraints to the DC plan, then the market become incomplete and the martingale method was not applicable, so they used dual control method and HJB equation to solve the problem and derive the explicit expressions of the optimal wealth process and optimal strategies. Du et al [19] considered a one-period two-echelon supply chain composed of a loss-averse supplier with yield randomness and a loss-averse retailer with demand uncertainty.…”

The Role of Inflation-Indexed Bond in Optimal Management of Defined Contribution Pension Plan During the Decumulation Phase

“…In the work of Han and Hung (2012), stochastic dynamic programming approach is used to investigate the optimal asset allocation for a DC pension plan with downside protection under stochastic inflation, and the inflation-indexed bond is again included in the asset menu to cope with the inflation risk. According to Chen et al (2017), an optimal investment strategy for a DC plan member who pays close attention to inflation risks and requires a minimum performance at retirement is solved by martingale approach. Another applications of inflation-indexed bond can be found in Nkeki (2018) and Tang (2018).…”