Robust time-consistent strategies of DC pension plans with the return of premiums clauses under inflation
Sign Up to like & getrecommendations! Published in 2024 at "Communications in Statistics - Theory and Methods"
DOI: 10.1080/03610926.2024.2347334
Abstract: Abstract. This article investigates the robust time-consistent investment strategy for a DC pension plan with model uncertainty under the mean-variance optimization objective. For the avoidance of reductions in investment returns due to inflation risk and… read more here.
Keywords: robust time; inflation; consistent strategies; time consistent ... See more keywords