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Communications in Statistics - Theory and Methods Volume 49, 2020 - Issue 13
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Original Articles

Optimal investment strategy for a DC pension plan with mispricing under the Heston model

Jie MaSchool of mathematics, Tianjin University, Tianjin, P.R. ChinaView further author information
,
Hui ZhaoSchool of mathematics, Tianjin University, Tianjin, P.R. ChinaView further author information
&
Ximin RongSchool of mathematics, Tianjin University, Tianjin, P.R. ChinaCorrespondence[email protected]
View further author information
Pages 3168-3183 | Received 01 Sep 2018, Accepted 14 Feb 2019, Published online: 25 Mar 2019

Citations (12)

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Read on this site (3)

Yanyu Shao, Dengfeng Xia & Weiyin Fei. (2023) Optimal investment strategy for DC pension plan with inflation risk under the hybrid stochastic volatility model. Systems Science & Control Engineering 11:1.
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Yumo Zhang. (2023) Optimal DC pension investment with square-root factor processes under stochastic income and inflation risks. Optimization 72:12, pages 2951-2988.
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Yijun Wang, Yingchun Deng, Ya Huang, Jieming Zhou & Xuyan Xiang. (2022) Optimal reinsurance–investment policies for insurers with mispricing under mean-variance criterion. Communications in Statistics - Theory and Methods 51:16, pages 5653-5680.
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Articles from other publishers (9)

Ning Wang & Yumo Zhang. (2023) Robust optimal asset-liability management with mispricing and stochastic factor market dynamics. Insurance: Mathematics and Economics 113, pages 251-273.
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Guohui Guan, Zongxia Liang & Yi Xia. (2023) Optimal management of DC pension fund under the relative performance ratio and VaR constraint. European Journal of Operational Research 305:2, pages 868-886.
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Jiaxin Lu & Hua Dong. (2023) Optimal investment strategy for the DC pension plan based on jump diffusion model and S-shaped utility. Mathematical Foundations of Computing 0:0, pages 0-0.
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Peng Yang. (2023) Robust optimal reinsurance-investment problem for $ n $ competitive and cooperative insurers under ambiguity aversion. AIMS Mathematics 8:10, pages 25131-25163.
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Jingyun Sun, Haixiang Yao & Zhongfei Li. (2023) Robust optimal investment strategy for a DC pension plan in the market with mispricing and constant elasticity of variance. Journal of Industrial and Management Optimization 0:0, pages 0-0.
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Zilan Liu, Yijun Wang, Ya Huang & Jieming Zhou. (2023) Optimal portfolios for the DC pension fund with mispricing under the HARA utility framework. Journal of Industrial and Management Optimization 19:2, pages 1262.
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Kaiwen Guo, Jinggui Gao & Mingquan Yu. (2022) Numerical optimal investment strategy for DC pension with time delay. Numerical optimal investment strategy for DC pension with time delay.
Yumo Zhang. (2021) Dynamic Optimal Mean-Variance Investment with Mispricing in the Family of 4/2 Stochastic Volatility Models. Mathematics 9:18, pages 2293.
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Weixiang Xu & Jinggui Gao. (2020) An Optimal Portfolio Problem of DC Pension with Input-Delay and Jump-Diffusion Process. Mathematical Problems in Engineering 2020, pages 1-9.
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