In the present work, we study the problem of optimal management of defined contribution
pension funds, during the distribution phase, under the effect of inflation, mortality and model …

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 …

In this paper we investigate an optimal investment strategy for a defined-contribution (DC)
pension plan member who is loss averse, pays close attention to inflation and longevity risks …

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 …

In defined contribution (DC) pension schemes, the financial risk borne by the member
occurs during the accumulation phase. To build up sufficient funds for retirement, scheme …

This paper explores the optimization of liquid and illiquid assets investment for a defined
contribution (DC) pension plan and investigates the impact of illiquidity on portfolio choice …

We study a robust consumption-investment problem with retirement and life insurance
decisions for an agent who is concerned about inflation risk and model ambiguity. Assuming …

This paper studies a generalized multi-period mean–variance portfolio selection problem
within the game theoretic framework for a defined-contribution pension scheme member …

This paper investigates an asset allocation problem for defined contribution pension funds
with stochastic income and mortality risk under a multi-period mean–variance framework …

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 …