SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
The role of longevity bonds in optimal portfolios
16 references·12 citing·33 second hop
The role of longevity bonds in optimal portfolios (2007)The role of longevity bonds in optimal po…Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets (2005)Dynamic Consumption and Portf…Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts (2004)Stochastic mortality in life …Portfolio and Consumption Decisions Under Mean-Reverting Returns: An Exact Solution for Complete Markets (2001)Portfolio and Consumption Dec…Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund (2001)Optimal management under stoc…A solution approach to valuation with unhedgeable risks (2001)A solution approach to valuat…Stochastic controls : Hamiltonian systems and HJB equations (1999)Stochastic controls : Hamilto…Kalman Filtering of Generalized Vasicek Term Structure Models (1999)Kalman Filtering of Generaliz…Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets (1999)Dynamic Consumption and Portf…Dynamic Nonmyopic Portfolio Behavior (1996)Dynamic Nonmyopic Portfolio B…A variational problem arising in financial economics (1991)A variational problem arising…Optimal consumption and portfolio policies when asset prices follow a diffusion process (1989)Optimal consumption and portf…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…An equilibrium characterization of the term structure (1977)An equilibrium characterizati…Optimal consumption, portfolio and life insurance rules for an uncertain lived individual in a continuous time model (1975)Optimal consumption, portfoli…Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Lifetime Portfolio Selection …TONUITY: A NOVEL INDIVIDUAL-ORIENTED RETIREMENT PLAN (2018)TONUITY: A NOVEL INDIVIDUAL-O…Time-consistent mean–variance hedging of longevity risk: Effect of cointegration (2014)Time-consistent mean–variance…Longevity Risk and Capital Markets: The 2012–2013 Update (2014)Longevity Risk and Capital Ma…On the mortality/longevity risk hedging with mortality immunization (2013)On the mortality/longevity ri…Life Annuities: An Optimal Product for Retirement Income (2013)Life Annuities: An Optimal Pr…Optimal retirement consumption with a stochastic force of mortality (2012)Optimal retirement consumptio…Longevity Risk, Retirement Savings, and Financial Innovation (2011)Longevity Risk, Retirement Sa…The Phillips curve and the Italian lira, 1861–1998 (2010)The Phillips curve and the It…Longevity Risk, Subjective Survival Expectations, and Individual Saving Behavior (2010)Longevity Risk, Subjective Su…Do Social Enterprises Finance Their Investments Differently from For-profit Firms? The Case of Social Residential Services in Italy (2010)Do Social Enterprises Finance…Quadratic stochastic intensity and prospective mortality tables (2008)Quadratic stochastic intensit…Maastricht: New and Old Rules (2006)Maastricht: New and Old RulesAn Intertemporal Capital Asset Pricing Model (1973)Asset Pricing at the Millennium (2000)Robust Portfolio Rules and Asset Pricing (2004)Portfolio Selection in Stochastic Environments (2006)The Pricing of Options and Corporate Liabilities (1973)Martingales and arbitrage in multiperiod securities markets (1979)Consumption and Portfolio Decisions when Expected Returns are Time Varying (1999)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Strategic Asset Allocation (2002)Uncertain Lifetime, Life Insurance, and the Theory of the Consumer (1965)Capital Market Equilibrium with Personal Tax (1983)Optimal Portfolio Selection with Transaction Costs and Finite Horizons (2002)A Monte Carlo Method for Optimal Portfolios (2003)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability (2005)Correlation Risk and Optimal Portfolio Choice (2010)Crashes, Volatility, and the Equity Premium: Lessons from S&P 500 Options (2010)Aspects of the Theory of Risk-Bearing. (1966)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)Risk Aversion in the Small and in the Large (1976)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Dynamic Asset Pricing Theory. (1993)Theory of rational option pricing (2005)Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type (2007)Nonlinear Expectations and Stochastic Calculus under Uncertainty (2019)Estimation of affine asset pricing models using the empirical characteristic function (2001)
this work references cited by second hop

References

  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1977An equilibrium characterization of the term structure6,104 cited
  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case5,199 cited
  • 1999Stochastic controls : Hamiltonian systems and HJB equations1,780 cited
  • 1989Optimal consumption and portfolio policies when asset prices follow a diffusion process1,613 cited
  • 1996Dynamic Nonmyopic Portfolio Behavior747 cited
  • 1975Optimal consumption, portfolio and life insurance rules for an uncertain lived individual in a continuous time model436 cited
  • 2005Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets418 cited
  • 1999Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets363 cited
  • 2004Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts344 cited
  • 2001A solution approach to valuation with unhedgeable risks330 cited
  • 2001Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund284 cited
  • 1999Kalman Filtering of Generalized Vasicek Term Structure Models259 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 1991A variational problem arising in financial economics229 cited
  • 2001Portfolio and Consumption Decisions Under Mean-Reverting Returns: An Exact Solution for Complete Markets163 cited
  • Cited by

    • 2018TONUITY: A NOVEL INDIVIDUAL-ORIENTED RETIREMENT PLAN86 cited
    • 2012Optimal retirement consumption with a stochastic force of mortality56 cited
    • 2010Do Social Enterprises Finance Their Investments Differently from For-profit Firms? The Case of Social Residential Services in Italy44 cited
    • 2010Longevity Risk, Subjective Survival Expectations, and Individual Saving Behavior41 cited
    • 2014Time-consistent mean–variance hedging of longevity risk: Effect of cointegration35 cited
    • 2008Quadratic stochastic intensity and prospective mortality tables34 cited
    • 2013On the mortality/longevity risk hedging with mortality immunization30 cited
    • 2006Maastricht: New and Old Rules23 cited
    • 2013Life Annuities: An Optimal Product for Retirement Income22 cited
    • 2011Longevity Risk, Retirement Savings, and Financial Innovation22 cited
    • 2010The Phillips curve and the Italian lira, 1861–199818 cited
    • 2014Longevity Risk and Capital Markets: The 2012–2013 Update16 cited