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ArticleIndividual optimal pension allocation under stochastic dominance constraints

Miloš Kopa2016

OA

Articlegreen2016

Individual optimal pension allocation under stochastic dominance constraints

Miloš Kopa · Vittorio Moriggia · Sebastiano Vitali

47 citations·0/0 files stored·Annals of Operations Research

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Risk and Portfolio Optimization Financial Literacy, Pension, Retirement Analysis Stochastic processes and financial applications

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References

1979Prospect Theory: An Analysis of Decision under Risk 1988Prospect theory: An analysis of decision under risk 1985A Theory of the Term Structure of Interest Rates 2000Optimization of conditional value-at-risk 1977An equilibrium characterization of the term structure 1971Optimum consumption and portfolio rules in a continuous-time model 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case 2002Conditional value-at-risk for general loss distributions

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2018Pension fund management with hedging derivatives, stochastic dominance and nodal contamination 2020Automatic balance mechanisms for notional defined contribution pension systems guaranteeing social adequacy and financial sustainability: an application to the Italian pension system

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Year2016

Typearticle

Published2016-12-19

VenueAnnals of Operations Research

ISSN-L0254-5330

Languageen

Citations47

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1007/s10479-016-2387-x

openalex_workW2567592283

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