In this paper we investigate an optimal investment problem under loss aversion (S-shaped
utility) and with trading and Value-at-Risk (VaR) constraints faced by a defined contribution …

This paper investigates an optimal investment strategy of DC pension plan in a stochastic
interest rate and stochastic volatility framework. We apply an affine model including the Cox …

In this paper we investigate an optimal investment problem under short-selling and portfolio
insurance constraints faced by a defined contribution pension fund manager who is loss …

This paper studies the risk management in a defined contribution (DC) pension plan. The
financial market consists of cash, bond and stock. The interest rate in our model is assumed …

In this paper, we study an optimal investment problem under the mean–variance criterion for
defined contribution pension plans during the accumulation phase. To protect the rights of a …

A data-driven Neural Network (NN) optimization framework is proposed to determine optimal
asset allocation during the accumulation phase of a defined contribution pension scheme. In …

This paper studies the optimization problem of DC pension plan under mean–variance
criterion. The financial market consists of cash, bond and stock. Similar to Guan and Liang …

We solve a mean–variance optimisation problem in the accumulation phase of a defined
contribution pension scheme. In a general multi-asset financial market with stochastic …

This paper investigates a robust optimal portfolio choice problem for a defined contribution
(DC) pension plan member. The member worries about model ambiguity and aims to seek …

This paper studies the time-consistent investment strategy for a defined contribution (DC)
pension plan under the mean–variance criterion. Since the time horizon of a pension fund …