Asset allocation for a DC pension fund with stochastic income and mortality risk: A multi-period mean–variance framework

Nash Equilibrium Strategy for a DC Pension Plan with State-Dependent Risk Aversion: A Multiperiod Mean-Variance Framework

“…Mean-variance criterion pioneered by Markowitz [2] has been one of the key research topics in financial economics and has stimulated numerous extensions and applications from different perspectives. Typical studies for DC pension plans include Poterba et al [3], Yao et al [4], Liu et al [5], Vigna [6], Guan and Liang [7], Blake et al [8], and Lin et al [9]. The investor who considers the mean-variance criterion needs to balance between maximizing the expected value of the terminal wealth and minimizing the risk measured by the variance of the terminal wealth.…”

Optimal management of DC pension plan under loss aversion and Value-at-Risk constraints

“…Recently, Yao et al (2013), Han and Hung (2012) solved problem of DC plan with inflation risk under CRRA utility maximization and mean-variance criterion, respectively. Yao et al (2014) studied risks of mortality and contribution.…”

Equilibrium investment strategy for defined-contribution pension schemes with generalized mean–variance criterion and mortality risk

“…Vigna (2014) compares the mean-variance efficient portfolios with the optimal portfolios maximizing the expected CARA and CRRA utilities, which are proved to be not mean-variance efficient. Yao et al (2014) consider a multi-period mean-variance investment problem for the accumulation phase of a DC pension scheme. For more information about optimal portfolio selection for a DC pension scheme under the mean-variance criterion, interested readers are referred to Vigna (2009) and Nkeki (2012).…”

“…To the best of our knowledge, for the discrete-time multiperiod mean-variance investment problem in the accumulation phase of a DC pension scheme, only Yao et al (2014) consider an optimal pre-commitment investment strategy that is time-inconsistent, and no studies have examined the corresponding time-consistent investment strategy. Therefore, this paper presents the first study of this strategy.…”

“…Compared with Yao et al (2014) and other existing literature, this paper makes four main contributions: (1) a generalized mean-variance criterion is first introduced into the optimal investment model of DC pension schemes, which makes our optimization problem more general; (2) the mechanism of defining the exit probabilities is quite different from that in the existing literature, in that we assume that the exit probabilities depend on the starting times and the future times, which also makes our optimization problem time-inconsistent; (3) the time-consistent equilibrium investment strategy is first considered and derived explicitly for the multi-period mean-variance investment problem in the accumulation phase of a DC pension scheme; and (4) to the best of our knowledge, we are the first to consider the time-consistent equilibrium strategy for the multi-period mean-variance investment problem with uncertain time horizon.…”