Optimal management of DB pension fund under both underfunded and overfunded cases

References

• Andersson M., Krylova E. & Vähämaa S. (2008). Why does the correlation between stock and bond returns vary over time? Applied Financial Economics 18(2), 139–151.
   Google Scholar
• Asthana S. (1999). Determinants of funding strategies and actuarial choices for defined-benefit pension plans. Contemporary Accounting Research 16(1), 39–74.
   Google Scholar
• Beaudoin C., Chandar N. & Werner E. M. (2010). Are potential effects of SFAS 158 associated with firms' decisions to freeze their defined benefit pension plans?. Review of Accounting and Finance 9(4), 424–451.
   Google Scholar
• Berkelaar A. B., Kouwenberg R. & Post T. (2004). Optimal portfolio choice under loss aversion. Review of Economics and Statistics 86(4), 973–987.
   Web of Science ®Google Scholar
• Blake D., Wright D. & Zhang Y. (2013). Target-driven investing: optimal investment strategies in defined contribution pension plans under loss aversion. Journal of Economic Dynamics and Control 37(1), 195–209.
   Web of Science ®Google Scholar
• Bodie Z., Marcus A. J. & Merton R. C. (1988). Defined benefit versus defined contribution pension plans: what are the real trade-offs? In Pensions in the US Economy. Chicago: University of Chicago Press. P. 139–162.
   Google Scholar
• Boulier J.-F., Huang S. & Taillard G. (2001). Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund. Insurance: Mathematics and Economics 28(2), 173–189.
   Web of Science ®Google Scholar
• Cairns A. J. (1996). Continuous-time pension-fund modelling. In Proceedings of the 6th AFIR International Colloquium, Nuremberg. P. 609–624.
   Google Scholar
• Cairns A. J. & Parker G. (1997). Stochastic pension fund modelling. Insurance: Mathematics and Economics 21(1), 43–79.
   Web of Science ®Google Scholar
• Cairns A. J., Blake D. & Dowd K. (2006). Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans. Journal of Economic Dynamics and Control 30(5), 843–877.
   Web of Science ®Google Scholar
• Carassus L. & Pham H. (2009). Portfolio optimization for piecewise concave criteria functions (the 8th workshop on stochastic numerics). RIMS Kokyuroku 1620, 81–108.
   Google Scholar
• Cárdenas J. C., De Roux N., Jaramillo C. R. & Martinez L. R. (2014). Is it my money or not? an experiment on risk aversion and the house-money effect. Experimental Economics 17(1), 47–60.
   Web of Science ®Google Scholar
• Carroll T. J. & Niehaus G. (1998). Pension plan funding and corporate debt ratings. Journal of Risk and Insurance 65(3), 427–443.
   Web of Science ®Google Scholar
• Chen Z., Li Z., Zeng Y. & Sun J. (2017). Asset allocation under loss aversion and minimum performance constraint in a DC pension plan with inflation risk. Insurance: Mathematics and Economics 75, 137–150.
   Web of Science ®Google Scholar
• Connolly R., Stivers C. & Sun L. (2005). Stock market uncertainty and the stock-bond return relation. Journal of Financial and Quantitative Analysis 40(1), 161–194.
   Web of Science ®Google Scholar
• Cox J. & Huang C.-F. (1989). Optimal consumption and portfolio policies when asset prices follow a diffusion process. Journal of Economic Theory 49(1), 33–83.
   Web of Science ®Google Scholar
• Cox S. H., Lin Y., Tian R. & Yu J. (2013). Managing capital market and longevity risks in a defined benefit pension plan. Journal of Risk and Insurance 80(3), 585–620.
   Web of Science ®Google Scholar
• Dong Y. & Zheng H. (2020). Optimal investment with S-shaped utility and trading and value at risk constraints: an application to defined contribution pension plan. European Journal of Operational Research 281(2), 341–356.
   Web of Science ®Google Scholar
• Duarte F. & Rosa C. (2015). The equity risk premium: a review of models. Economic Policy Review 21(2), 39–57.
   Google Scholar
• Eaton T. V. & Nofsinger J. R. (2004). The effect of financial constraints and political pressure on the management of public pension plans. Journal of Accounting and Public Policy 23(3), 161–189.
   Google Scholar
• Emms P. (2012). Lifetime investment and consumption using a defined-contribution pension scheme. Journal of Economic Dynamics and Control 36(9), 1303–1321.
   Web of Science ®Google Scholar
• Franzoni F. & Marin J. M. (2006). Pension plan funding and stock market efficiency. The Journal of Finance 61(2), 921–956.
   Web of Science ®Google Scholar
• Guan G. & Liang Z. (2014). Optimal management of DC pension plan in a stochastic interest rate and stochastic volatility framework. Insurance: Mathematics and Economics 57, 58–66.
   Web of Science ®Google Scholar
• Guan G. & Liang Z. (2016). Optimal management of DC pension plan under loss aversion and value-at-risk constraints. Insurance: Mathematics and Economics 69, 224–237.
   Web of Science ®Google Scholar
• Guan G., Liang Z. & Xia Y. (2023). Optimal management of DC pension fund under the relative performance ratio and VaR constraint. European Journal of Operational Research 305(2), 868–886.
   Web of Science ®Google Scholar
• Hainaut D. & Deelstra G. (2011). Optimal funding of defined benefit pension plans. Journal of Pension Economics and Finance 10(1), 31–52.
   Web of Science ®Google Scholar
• Hull J. & White A. (1990). Pricing interest-rate-derivative securities. The Review of Financial Studies 3(4), 573–592.
   Web of Science ®Google Scholar
• Josa-Fombellida R., López-Casado P. & Rincón-Zapatero J. P. (2018). Portfolio optimization in a defined benefit pension plan where the risky assets are processes with constant elasticity of variance. Insurance: Mathematics and Economics 82, 73–86.
   Web of Science ®Google Scholar
• Josa-Fombellida R. & Rincón-Zapatero J. P. (2006). Optimal investment decisions with a liability: the case of defined benefit pension plans. Insurance: Mathematics and Economics 39(1), 81–98.
   Web of Science ®Google Scholar
• Josa-Fombellida R. & Rincón-Zapatero J. P. (2010). Optimal asset allocation for aggregated defined benefit pension funds with stochastic interest rates. European Journal of Operational Research 201(1), 211–221.
   Web of Science ®Google Scholar
• Josa-Fombellida R. & Rincón-Zapatero J. P. (2012). Stochastic pension funding when the benefit and the risky asset follow jump diffusion processes. European Journal of Operational Research 220(2), 404–413.
   Web of Science ®Google Scholar
• Kahneman D. & Tversky A. (1979). Prospect theory: an analysis of decision under risk. Econometrica: Journal of the Econometric Society 47(2), 263–292.
   Web of Science ®Google Scholar
• Kapinos K. A. (2009). On the determinants of defined benefit pension plan conversions. Journal of Labor Research 30(2), 149–167.
   Web of Science ®Google Scholar
• Karatzas I., Lehoczky J. P. & Shreve S. E. (1987). Optimal portfolio and consumption decisions for a “small investor” on a finite horizon. SIAM Journal on Control and Optimization 25(6), 1557–1586.
   Web of Science ®Google Scholar
• Li D., Bi J. & Hu M. (2021). Alpha-robust mean-variance investment strategy for DC pension plan with uncertainty about jump-diffusion risk. RAIRO-Operations Research 55, S2983–S2997.
   Web of Science ®Google Scholar
• March J. G. (1996). Learning to be risk averse. Psychological Review 103(2), 309.
   Web of Science ®Google Scholar
• Pliska S. R. (1986). A stochastic calculus model of continuous trading: optimal portfolios. Mathematics of Operations Research 11(2), 371–382.
   Web of Science ®Google Scholar
• Siegmann A. (2007). Optimal investment policies for defined benefit pension funds. Journal of Pension Economics and Finance 6(1), 1–20.
   Google Scholar
• Stone M. (1987). A financing explanation for overfunded pension plan terminations. Journal of Accounting Research 25(2), 317–326.
   Web of Science ®Google Scholar
• Sundaresan S. & Zapatero F. (1997). Valuation, optimal asset allocation and retirement incentives of pension plans. The Review of Financial Studies 10(3), 631–660.
   Web of Science ®Google Scholar
• Temocin B. Z., Korn R. & Selcuk-Kestel A. S. (2018). Constant proportion portfolio insurance in defined contribution pension plan management. Annals of Operations Research 266(1), 329–348.
   Web of Science ®Google Scholar
• Thomas J. K. (1989). Why do firms terminate their overfunded pension plans?. Journal of Accounting and Economics 11(4), 361–398.
   Web of Science ®Google Scholar
• Tversky A. & Kahneman D. (1991). Loss aversion in riskless choice: A reference-dependent model. The Quarterly Journal of Economics 106(4), 1039–1061.
   Web of Science ®Google Scholar
• Tversky A. & Kahneman D. (1992). Advances in prospect theory: cumulative representation of uncertainty. Journal of Risk and Uncertainty 5(4), 297–323.
   Web of Science ®Google Scholar
• Zeng Y., Li D., Chen Z. & Yang Z. (2018). Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility. Journal of Economic Dynamics and Control 88, 70–103.
   Web of Science ®Google Scholar
• Zhu X. (2015). Out-of-sample bond risk premium predictions: a global common factor. Journal of International Money and Finance 51, 155–173.
   Web of Science ®Google Scholar