SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Individual optimal pension allocation under stochastic dominance constraints
16 references·2 citing·37 second hop
Individual optimal pension allocation under stochastic dominance constraints (2016)Individual optimal pension allocation und…Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)Optimal Versus Naive Diversif…Insurance: Mathematics and Economics (2004)Insurance: Mathematics and Ec…Conditional value-at-risk for general loss distributions (2002)Conditional value-at-risk for…Optimization of conditional value-at-risk (2000)Optimization of conditional v…Bond and Option Pricing when Short Rates are Lognormal (1991)Bond and Option Pricing when …Pricing Interest-Rate-Derivative Securities (1990)Pricing Interest-Rate-Derivat…A One-Factor Model of Interest Rates and Its Application to Treasury Bond Options (1990)A One-Factor Model of Interes…Prospect theory: An analysis of decision under risk (1988)Prospect theory: An analysis …Term Structure Movements and Pricing Interest Rate Contingent Claims (1986)Term Structure Movements and …A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…Prospect Theory: An Analysis of Decision under Risk (1979)Prospect Theory: An Analysis …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…The Efficiency Analysis of Choices Involving Risk (1969)The Efficiency Analysis of Ch…Rules for Ordering Uncertain Prospects (1969)Rules for Ordering Uncertain …Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Lifetime Portfolio Selection …Automatic balance mechanisms for notional defined contribution pension systems guaranteeing social adequacy and financial sustainability: an application to the Italian pension system (2020)Automatic balance mechanisms …Pension fund management with hedging derivatives, stochastic dominance and nodal contamination (2018)Pension fund management with …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)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Forecasting the Term Structure of Government Bond Yields (2003)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)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)Risk, Ambiguity, and the Savage Axioms (1961)Judgment under Uncertainty: Heuristics and Biases (1975)The Framing of Decisions and the Psychology of Choice (1981)Exploration and Exploitation in Organizational Learning (1991)Explicating dynamic capabilities: the nature and microfoundations of (sustainable) enterprise performance (2007)Theory of games and economic behavior (2019)PORTFOLIO SELECTION* (1952)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Robust performance hypothesis testing with the Sharpe ratio (2008)A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms (2009)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)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. (1993)Theory of rational option pricing (2005)Coherent Measures of Risk (1999)On the coherence of expected shortfall (2002)Spectral measures of risk: A coherent representation of subjective risk aversion (2002)Making and Evaluating Point Forecasts (2011)Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems (2010)Data-Driven Distributionally Robust Optimization Using the Wasserstein Metric: Performance Guarantees and Tractable Reformulations (2015)Advances in prospect theory: Cumulative representation of uncertainty (1992)
this work references cited by second hop

References

  • 1979Prospect Theory: An Analysis of Decision under Risk48,459 cited
  • 1988Prospect theory: An analysis of decision under risk32,475 cited
  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 2000Optimization of conditional value-at-risk6,711 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
  • 2002Conditional value-at-risk for general loss distributions3,847 cited
  • 2007Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?3,193 cited
  • 1990Pricing Interest-Rate-Derivative Securities2,168 cited
  • 1969Rules for Ordering Uncertain Prospects1,757 cited
  • 1969The Efficiency Analysis of Choices Involving Risk1,416 cited
  • 1986Term Structure Movements and Pricing Interest Rate Contingent Claims1,398 cited
  • 2004Insurance: Mathematics and Economics1,308 cited
  • 1990A One-Factor Model of Interest Rates and Its Application to Treasury Bond Options981 cited

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

1991
Bond and Option Pricing when Short Rates are Lognormal
667 cited

Cited by

  • 2018Pension fund management with hedging derivatives, stochastic dominance and nodal contamination36 cited
  • 2020Automatic balance mechanisms for notional defined contribution pension systems guaranteeing social adequacy and financial sustainability: an application to the Italian pension system20 cited