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Management of Portfolio Depletion Risk through Optimal Life Cycle Asset Allocation
16 references·1 citing·46 second hop
Management of Portfolio Depletion Risk through Optimal Life Cycle Asset Allocation (2019)Management of Portfolio Depletion Risk th…Asset Market Participation and Portfolio Choice over the Life‐Cycle (2017)Asset Market Participation an…Optimal management of DC pension plan in a stochastic interest rate and stochastic volatility framework (2014)Optimal management of DC pens…On efficiency of mean–variance based portfolio selection in defined contribution pension schemes (2012)On efficiency of mean–varianc…MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION (2012)MEAN–VARIANCE PORTFOLIO OPTIM…Dynamic Mean-Variance Asset Allocation (2010)Dynamic Mean-Variance Asset A…Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps (2009)Non‐parametric Threshold Esti…Annuitization and asset allocation (2007)Annuitization and asset alloc…Stochastic lifestyling: Optimal dynamic asset allocation for defined contribution pension plans (2005)Stochastic lifestyling: Optim…Consumption and Portfolio Choice over the Life Cycle (2005)Consumption and Portfolio Cho…Option Pricing Under a Double Exponential Jump Diffusion Model (2004)Option Pricing Under a Double…Optimal investment choices post-retirement in a defined contribution pension scheme (2004)Optimal investment choices po…Optimal Asset Location and Allocation with Taxable and Tax‐Deferred Investing (2004)Optimal Asset Location and Al…Pensionmetrics 2: stochastic pension plan design during the distribution phase (2003)Pensionmetrics 2: stochastic …Optimization of conditional value-at-risk (2000)Optimization of conditional v…Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation (2000)Optimal Dynamic Portfolio Sel…Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)Continuous-Time Mean-Variance…On the Distribution of Terminal Wealth under Dynamic Mean-Variance Optimal Investment Strategies (2021)On the Distribution of Termin…PORTFOLIO SELECTION* (1952)Myopia and Inconsistency in Dynamic Utility Maximization (1955)Rules Rather than Discretion: The Inconsistency of Optimal Plans (1977)Optimal time-consistent investment and reinsurance policies for mean-variance insurers (2011)A theory of Markovian time-inconsistent stochastic control in discrete time (2014)On time-inconsistent stochastic control in continuous time (2017)Portfolio Selection: Efficient Diversification of Investments (1959)Adapted solution of a backward stochastic differential equation (1990)Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model (2003)Controlled Markov Processes and Viscosity Solutions (2005)Continuous Martingales and Brownian Motion (1999)Stochastic Integration and Differential Equations (2005)Brownian Motion and Stochastic Calculus (2007)Discrete-Time Volatility Forecasting With Persistent Leverage Effect and the Link With Continuous-Time Volatility Modeling (2012)Exploiting the errors: A simple approach for improved volatility forecasting (2015)The risk premia embedded in index options (2015)Saving and Liquidity Constraints (1991)Buffer-Stock Saving and the Life Cycle/Permanent Income Hypothesis (1997)Consumption Over the Life Cycle (2002)Portfolio Choice in the Presence of Housing (2004)Cognitive Ability and Portfolio Choice (2010)Financial Literacy, Retirement Planning and Household Wealth (2012)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Optimum consumption and portfolio rules in a continuous-time model (1971)An equilibrium characterization of the term structure (1977)Life-cycle asset allocation with annuity markets (2008)Optimal asset allocation for DC pension plans under inflation (2012)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)Mean-Variance Analysis in Portfolio Choice and Capital Markets. (1989)A Theory of the Term Structure of Interest Rates (1985)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A General Theory of Markovian Time Inconsistent Stochastic Control Problems (2010)A Maximum Principle for SDEs of Mean-Field Type (2010)The analysis of household surveys (1997)Retail Financial Advice: Does One Size Fit All? (2017)Heterogeneity and Persistence in Returns to Wealth (2018)Learning to Take Risks? The Effect of Education on Risk-Taking in Financial Markets (2018)Theory of Rational Option Pricing (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Optimal stopping and perpetual options for Lévy processes (2002)First passage times of a jump diffusion process (2003)Theory of rational option pricing (2005)Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation (2007)Conditional value-at-risk for general loss distributions (2002)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)
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References

  • 2000Optimization of conditional value-at-risk6,711 cited
  • 2005Consumption and Portfolio Choice over the Life Cycle1,544 cited
  • 2000Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework1,009 cited
  • 2000Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation994 cited
  • 2004Option Pricing Under a Double Exponential Jump Diffusion Model654 cited
  • 2010Dynamic Mean-Variance Asset Allocation593 cited
  • 2012MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION505 cited
  • 2009Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps448 cited
  • 2017Asset Market Participation and Portfolio Choice over the Life‐Cycle318 cited
  • 2005Stochastic lifestyling: Optimal dynamic asset allocation for defined contribution pension plans309 cited
  • 2004Optimal Asset Location and Allocation with Taxable and Tax‐Deferred Investing287 cited
  • 2007Annuitization and asset allocation272 cited
  • 2003Pensionmetrics 2: stochastic pension plan design during the distribution phase172 cited
  • 2004Optimal investment choices post-retirement in a defined contribution pension scheme148 cited
  • 2014Optimal management of DC pension plan in a stochastic interest rate and stochastic volatility framework

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118 cited
  • 2012On efficiency of mean–variance based portfolio selection in defined contribution pension schemes106 cited
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    • 2021On the Distribution of Terminal Wealth under Dynamic Mean-Variance Optimal Investment Strategies22 cited