6 citations · 10 across the 14 of their papers we have counts for
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q-fin.RM2021
Robust equilibrium strategies in a defined benefit pension plan game
Guohui Guan, Jiaqi Hu, Zongxia Liang
This paper investigates the robust {non-zero-sum} games in an aggregated {overfunded} defined benefit (abbr. DB) pension plan. The sponsoring firm is concerned with the investment…
q-fin.RM2021★ 1 cited
Optimal management of DC pension fund under relative performance ratio and VaR constraint
Guohui Guan, Zongxia Liang, Yi xia
In this paper, we investigate the optimal management of defined contribution (abbr. DC) pension plan under relative performance ratio and Value-at-Risk (abbr. VaR) constraint. Infl…