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Pensionmetrics: stochastic pension plan design and value-at-risk during the accumulation phase
16 references·16 citing·40 second hopsampled
Pensionmetrics: stochastic pension plan design and value-at-risk during the accumulation phase (2001)Pensionmetrics: stochastic pension plan d…Correlation: Pitfalls and Alternatives (1999)Correlation: Pitfalls and Alt…Coherent Measures of Risk (1999)Coherent Measures of RiskBeyond Value at Risk: The New Science of Risk Management (1998)Beyond Value at Risk: The New…Mean Reversion in Stock Prices (1996)Mean Reversion in Stock PricesTheory of constant proportion portfolio insurance (1992)Theory of constant proportion…The size and power of the variance ratio test in finite samples (1989)The size and power of the var…The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation (1988)The Size and Power of the Var…Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Stock Market Prices Do Not Fo…Mean reversion in stock prices (1988)Mean reversion in stock pricesHow Big Is the Random Walk in GNP? (1988)How Big Is the Random Walk in…Dynamic Strategies for Asset Allocation (1988)Dynamic Strategies for Asset …Mean Reversion in Stock Prices: Evidence and Implications (1987)Mean Reversion in Stock Price…Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Distribution of the Estimator…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…An equilibrium characterization of the term structure (1977)An equilibrium characterizati…Risk and uncertainty: a fallacy of large numbers (1963)Risk and uncertainty: a falla…Target-driven investing: Optimal investment strategies in defined contribution pension plans under loss aversion (2012)Target-driven investing: Opti…Dynamic Lifecycle Strategies for Target DateRetirement Funds (2011)Dynamic Lifecycle Strategies …Choosing the optimal annuitization time post-retirement (2010)Choosing the optimal annuitiz…The Value and Risk of Defined Contribution Pension Schemes: International Evidence (2009)The Value and Risk of Defined…The Impact of Longevity Risk on the Optimal Contribution Rate and Asset Allocation for Defined Contribution Pension Plans (2009)The Impact of Longevity Risk …Optimal investment strategy for annuity contracts under the constant elasticity of variance (CEV) model (2009)Optimal investment strategy f…Optimal investment for a pension fund under inflation risk (2009)Optimal investment for a pens…Dynamic asset liability management with tolerance for limited shortfalls (2008)Dynamic asset liability manag…Betting on Death and Capital Markets in Retirement: A Shortfall Risk Analysis of Life Annuities Versus Phased Withdrawal Plans (2008)Betting on Death and Capital …The Impact of Occupation and Gender on Pensions from Defined Contribution Plans (2007)The Impact of Occupation and …The Management of Decumulation Risks in a Defined Contribution Pension Plan (2006)The Management of Decumulatio…After VaR: The Theory, Estimation, and Insurance Applications of Quantile‐Based Risk Measures (2006)After VaR: The Theory, Estima…Long‐Term Value at Risk (2004)Long‐Term Value at RiskGlobal Asset Liability Management (2003)Global Asset Liability Manage…Optimal portfolio and background risk: an exact and an approximated solution (2002)Optimal portfolio and backgro…Annuities for an Ageing World (2002)Annuities for an Ageing WorldLikelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Time to Build and Aggregate Fluctuations (1982)A Model of Growth Through Creative Destruction (1990)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Statistical analysis of cointegration vectors (1988)Testing for a Unit Root in Time Series Regression (1988)Bounds testing approaches to the analysis of level relationships (2001)An Intertemporal Capital Asset Pricing Model (1973)The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Theory of the Term Structure of Interest Rates (1985)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Asset Prices in an Exchange Economy (1978)Does the Stock Market Overreact? (1985)Positive Feedback Investment Strategies and Destabilizing Rational Speculation (1990)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Specification Tests in Econometrics (1978)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Efficient Capital Markets: II (1991)Multifactor Explanations of Asset Pricing Anomalies (1996)Conditional value-at-risk for general loss distributions (2002)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)Stock Prices, Earnings, and Expected Dividends (1988)Investor Psychology and Asset Pricing (2001)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)Financial Intermediation and Delegated Monitoring (1984)Myopic Loss Aversion and the Equity Premium Puzzle (1995)Production-Based Asset Pricing and the Link Between Stock Returns and Economic Fluctuations (1991)The use of technical analysis in the foreign exchange market (1992)Herd Behaviour, Bubbles and Crashes (1995)Testing for unit roots in heterogeneous panels (2003)
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References

  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
  • 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root9,128 cited
  • 1999Coherent Measures of Risk8,849 cited
  • 1977An equilibrium characterization of the term structure6,104 cited
  • 1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test3,745 cited
  • 1988Mean reversion in stock prices1,888 cited
  • 1987Mean Reversion in Stock Prices: Evidence and Implications1,875 cited
  • 1988How Big Is the Random Walk in GNP?1,270 cited
  • 1996Mean Reversion in Stock Prices1,083 cited
  • 1963Risk and uncertainty: a fallacy of large numbers615 cited
  • 1989The size and power of the variance ratio test in finite samples522 cited
  • 1988Dynamic Strategies for Asset Allocation498 cited
  • 1998Beyond Value at Risk: The New Science of Risk Management489 cited
  • 1988The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation419 cited
  • 1992Theory of constant proportion portfolio insurance403 cited
  • 1999

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Correlation: Pitfalls and Alternatives
309 cited

Cited by

  • 2006After VaR: The Theory, Estimation, and Insurance Applications of Quantile‐Based Risk Measures174 cited
  • 2003Global Asset Liability Management94 cited
  • 2012Target-driven investing: Optimal investment strategies in defined contribution pension plans under loss aversion85 cited
  • 2009Optimal investment strategy for annuity contracts under the constant elasticity of variance (CEV) model83 cited
  • 2011Dynamic Lifecycle Strategies for Target DateRetirement Funds82 cited
  • 2009Optimal investment for a pension fund under inflation risk75 cited
  • 2008Betting on Death and Capital Markets in Retirement: A Shortfall Risk Analysis of Life Annuities Versus Phased Withdrawal Plans63 cited
  • 2008Dynamic asset liability management with tolerance for limited shortfalls56 cited
  • 2004Long‐Term Value at Risk55 cited
  • 2006The Management of Decumulation Risks in a Defined Contribution Pension Plan52 cited
  • 2002Optimal portfolio and background risk: an exact and an approximated solution47 cited
  • 2002Annuities for an Ageing World43 cited
  • 2010Choosing the optimal annuitization time post-retirement40 cited
  • 2007The Impact of Occupation and Gender on Pensions from Defined Contribution Plans33 cited
  • 2009The Value and Risk of Defined Contribution Pension Schemes: International Evidence30 cited
  • 2009The Impact of Longevity Risk on the Optimal Contribution Rate and Asset Allocation for Defined Contribution Pension Plans28 cited