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Dynamic asset liability management with tolerance for limited shortfalls
16 references·2 citing·33 second hop
Dynamic asset liability management with tolerance for limited shortfalls (2008)Dynamic asset liability management with t…The Malliavin Calculus and Related Topics (2006)The Malliavin Calculus and Re…Stochastic lifestyling: Optimal dynamic asset allocation for defined contribution pension plans (2005)Stochastic lifestyling: Optim…A Monte Carlo Method for Optimal Portfolios (2003)A Monte Carlo Method for Opti…Optimal investment strategies and risk measures in defined contribution pension schemes (2002)Optimal investment strategies…Pensionmetrics: stochastic pension plan design and value-at-risk during the accumulation phase (2001)Pensionmetrics: stochastic pe…Some Notes on the Dynamics and Optimal Control of Stochastic Pension Fund Models in Continuous Time (2000)Some Notes on the Dynamics an…Methods of Mathematical Finance (1998)Methods of Mathematical Finan…Methods of Mathematical Finance (1998)Methods of Mathematical Finan…Valuation, Optimal Asset Allocation and Retirement Incentives of Pension Plans (1997)Valuation, Optimal Asset Allo…The Malliavin Calculus and Related Topics (1995)The Malliavin Calculus and Re…A generalized clark representation formula, with application to optimal portfolios (1991)A generalized clark represent…Liabilities— A New Approach (1990)Liabilities— A New ApproachOptimal consumption and portfolio policies when asset prices follow a diffusion process (1989)Optimal consumption and portf…Handbooks in operations research and management science (1989)Handbooks in operations resea…Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon (1987)Optimal Portfolio and Consump…Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…Liability-Driven Investment with DownsideRisk (2013)Liability-Driven Investment w…A robust optimization approach to asset-liability management under time-varying investment opportunities (2013)A robust optimization approac…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)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)An Intertemporal Capital Asset Pricing Model (1973)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)A Theory of the Term Structure of Interest Rates (1985)Does Option Compensation Increase Managerial Risk Appetite? (2000)Brownian Motion and Stochastic Calculus (2007)An equilibrium characterization of the term structure (1977)Annuitization and asset allocation (2007)Life-cycle asset allocation with annuity markets (2008)Optimal asset allocation for DC pension plans under inflation (2012)Closed-Loop Supply Chain Models with Product Remanufacturing (2004)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Perspectives in supply chain risk management (2006)Applications of Malliavin calculus to Monte Carlo methods in finance (1999)Stochastic Calculus with Respect to Gaussian Processes (2001)Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (2004)Strategic asset allocation with liabilities: Beyond stocks and bonds (2008)Insurance: Mathematics and Economics (2013)Gender differences in financial risk tolerance (2017)Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)A Jump-Diffusion Model for Option Pricing (2002)Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)Portfolio and Consumption Decisions under Mean-Reverting Returns: An Exact Solution for Complete Markets (2002)Pricing American Options: A Duality Approach (2004)Model Uncertainty and Option Markets with Heterogeneous Beliefs (2006)Numerical Challenges in the Use of Polynomial Chaos Representations for Stochastic Processes (2004)Central limit theorems for sequences of multiple stochastic integrals (2005)
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References

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  • 2006The Malliavin Calculus and Related Topics2,470 cited
  • 1989Handbooks in operations research and management science2,388 cited
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  • 2002Optimal investment strategies and risk measures in defined contribution pension schemes182 cited
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  • 2000Some Notes on the Dynamics and Optimal Control of Stochastic Pension Fund Models in Continuous Time

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164 cited
  • 2001Pensionmetrics: stochastic pension plan design and value-at-risk during the accumulation phase154 cited
  • Cited by

    • 2013Liability-Driven Investment with DownsideRisk59 cited
    • 2013A robust optimization approach to asset-liability management under time-varying investment opportunities45 cited