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Optimal Investment of DC Pension Plan Under Short-Selling Constraints and Portfolio Insurance
16 references·0 citing·37 second hop
Optimal Investment of DC Pension Plan Under Short-Selling Constraints and Portfolio Insurance (2018)Optimal Investment of DC Pension Plan Und…Stochastic lifestyling: Optimal dynamic asset allocation for defined contribution pension plans (2005)Stochastic lifestyling: Optim…Optimal Portfolio Choice under Loss Aversion (2004)Optimal Portfolio Choice unde…Dynamic Asset Allocation under Inflation (2002)Dynamic Asset Allocation unde…Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)Value-at-Risk-Based Risk Mana…Does Option Compensation Increase Managerial Risk Appetite? (2000)Does Option Compensation Incr…Methods of Mathematical Finance (1998)Methods of Mathematical Finan…Methods of Mathematical Finance (1998)Methods of Mathematical Finan…Convex Duality in Constrained Portfolio Optimization (1992)Convex Duality in Constrained…Advances in prospect theory: Cumulative representation of uncertainty (1992)Advances in prospect theory: …Optimal consumption and portfolio policies when asset prices follow a diffusion process (1989)Optimal consumption and portf…Prospect theory: An analysis of decision under risk (1988)Prospect theory: An analysis …Explicit Solution of a General Consumption/Investment Problem (1986)Explicit Solution of a Genera…A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios (1986)A Stochastic Calculus Model o…Prospect Theory: An Analysis of Decision under Risk (1979)Prospect Theory: An Analysis …Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Lifetime Portfolio Selection …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)Aspects of the Theory of Risk-Bearing. (1966)An Intertemporal Capital Asset Pricing Model (1973)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)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Judgment under Uncertainty: Heuristics and Biases (1975)Loss Aversion in Riskless Choice: A Reference-Dependent Model (1991)Individual differences in reasoning: Implications for the rationality debate? (2000)A perspective on judgment and choice: Mapping bounded rationality. (2003)Risk, Ambiguity, and the Savage Axioms (1961)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 Performance Manipulation and Manipulation-proof Performance MeasuresTheory of the firm: Managerial behavior, agency costs and ownership structure (1976)High‐Water Marks and Hedge Fund Management Contracts (2003)An econometric model of serial correlation and illiquidity in hedge fund returns (2004)Brownian Motion and Stochastic Calculus (2007)Asset Prices in an Exchange Economy (1978)Coherent Measures of Risk (1999)Testing Density Forecasts, With Applications to Risk Management (2001)How Accurate Are Value‐at‐Risk Models at Commercial Banks? (2002)Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications (2003)A Jump-Diffusion Model for Option Pricing (2002)Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)Portfolio and Consumption Decisions under Mean-Reverting Returns: An Exact Solution for Complete Markets (2002)Pricing American Options: A Duality Approach (2004)Model Uncertainty and Option Markets with Heterogeneous Beliefs (2006)
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References

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  • 1986Explicit Solution of a General Consumption/Investment Problem387 cited

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2005
Stochastic lifestyling: Optimal dynamic asset allocation for defined contribution pension plans
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