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Optimal investment strategies in the presence of a minimum guarantee
13 references·16 citing·33 second hop
Optimal investment strategies in the presence of a minimum guarantee (2003)Optimal investment strategies in the pres…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund (2001)Optimal management under stoc…Pension FundsRetirement-Income Security and Capital Markets: An International Perspective (1998)Pension FundsRetirement-Incom…A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)A YIELD‐FACTOR MODEL OF INTER…An Empirical Comparison of Alternative Models of the Short-Term Interest Rate (1992)An Empirical Comparison of Al…Continuous-Time Finance. (1991)Continuous-Time Finance.A variational problem arising in financial economics (1991)A variational problem arising…Optimization Problems in the Theory of Continuous Trading (1989)Optimization Problems in the …Optimal consumption and portfolio policies when asset prices follow a diffusion process (1989)Optimal consumption and portf…Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon (1987)Optimal Portfolio and Consump…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…Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…Robust optimal investment strategy for an AAM of DC pension plans with stochastic interest rate and stochastic volatility (2018)Robust optimal investment str…Asset allocation under loss aversion and minimum performance constraint in a DC pension plan with inflation risk (2017)Asset allocation under loss a…Optimal management of DC pension plan under loss aversion and Value-at-Risk constraints (2016)Optimal management of DC pens…Optimal management of DC pension plan in a stochastic interest rate and stochastic volatility framework (2014)Optimal management of DC pens…Mean–variance efficiency of DC pension plan under stochastic interest rate and mean-reverting returns (2014)Mean–variance efficiency of D…Markowitz’s mean–variance defined contribution pension fund management under inflation: A continuous-time model (2013)Markowitz’s mean–variance def…Optimal asset allocation for DC pension plans under inflation (2012)Optimal asset allocation for …On efficiency of mean–variance based portfolio selection in defined contribution pension schemes (2012)On efficiency of mean–varianc…Pension funds with a minimum guarantee: a stochastic control approach (2010)Pension funds with a minimum …Optimal Annuity Risk Management (2010)Optimal Annuity Risk Manageme…Optimal asset allocation for aggregated defined benefit pension funds with stochastic interest rates (2009)Optimal asset allocation for …Stochastic optimal control of DC pension funds (2008)Stochastic optimal control of…Regret, portfolio choice, and guarantees in defined contribution schemes (2006)Regret, portfolio choice, and…Optimal risk management in defined benefit stochastic pension funds (2004)Optimal risk management in de…Optimal pension management in a stochastic framework (2004)Optimal pension management in…Optimal design of the guarantee for defined contribution funds (2004)Optimal design of the guarant…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)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)An Intertemporal Capital Asset Pricing Model (1973)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)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Modeling the conditional distribution of interest rates as a regime-switching process (1996)Specification Analysis of Affine Term Structure Models (2000)Term Premia and Interest Rate Forecasts in Affine Models (2002)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Dynamic Asset Pricing Theory. 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this work references cited by second hop

References

  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 1977An equilibrium characterization of the term structure6,104 cited
  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1996A YIELD‐FACTOR MODEL OF INTEREST RATES2,498 cited
  • 1991Continuous-Time Finance.1,788 cited
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  • 1989Optimal consumption and portfolio policies when asset prices follow a diffusion process1,613 cited
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  • 1991A variational problem arising in financial economics229 cited

Cited by

  • 2004Optimal pension management in a stochastic framework192 cited
  • 2012Optimal asset allocation for DC pension plans under inflation

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138 cited
  • 2006Regret, portfolio choice, and guarantees in defined contribution schemes122 cited
  • 2008Stochastic optimal control of DC pension funds121 cited
  • 2014Optimal management of DC pension plan in a stochastic interest rate and stochastic volatility framework118 cited
  • 2012On efficiency of mean–variance based portfolio selection in defined contribution pension schemes106 cited
  • 2010Optimal Annuity Risk Management99 cited
  • 2010Pension funds with a minimum guarantee: a stochastic control approach98 cited
  • 2004Optimal design of the guarantee for defined contribution funds88 cited
  • 2004Optimal risk management in defined benefit stochastic pension funds88 cited
  • 2017Asset allocation under loss aversion and minimum performance constraint in a DC pension plan with inflation risk74 cited
  • 2016Optimal management of DC pension plan under loss aversion and Value-at-Risk constraints66 cited
  • 2018Robust optimal investment strategy for an AAM of DC pension plans with stochastic interest rate and stochastic volatility66 cited
  • 2013Markowitz’s mean–variance defined contribution pension fund management under inflation: A continuous-time model63 cited
  • 2009Optimal asset allocation for aggregated defined benefit pension funds with stochastic interest rates62 cited
  • 2014Mean–variance efficiency of DC pension plan under stochastic interest rate and mean-reverting returns61 cited