Pension systems are one of the fundamental pillars of the welfare state. The ageing of the
population caused by longer life expectancy and low birth rates has led to a crisis in the …

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 provides a derivative-based optimal investment strategy for an ambiguity-
adverse pension investor who faces not only risks from time-varying income and market …

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 …

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 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 …

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 …

We investigate how well different investment strategies can give pre‐retirees more certainty
about their income in retirement, whilst allowing them to benefit from taking investment risk …

In response to the unprecedented uncertain rare events of the last decade, we derive an
optimal portfolio choice problem in a semi-closed form by integrating price diffusion …

Since the turn of the twenty‐first century, the issue of aging has gained international
attention. Both developed and developing nations are currently dealing with this issue. To …