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Pension funds with a minimum guarantee: a stochastic control approach · Study

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ArticlePension funds with a minimum guarantee: a stochastic control approach

Marina Di Giacinto2010

OA

Articlegreen2010

Pension funds with a minimum guarantee: a stochastic control approach

Marina Di Giacinto · Salvatore Federico · Fausto Gozzi

98 citations·0/0 files stored·Finance and Stochastics

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

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References

2007Brownian Motion and Stochastic Calculus 1999Continuous Martingales and Brownian Motion 1971Optimum consumption and portfolio rules in a continuous-time model 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case 1983Stochastic Differential Equations and Diffusion Processes 1991Brownian motion and stochastic calculus 1999Stochastic controls : Hamiltonian systems and HJB equations 1999Stochastic Controls

Cited by

2012On efficiency of mean–variance based portfolio selection in defined contribution pension schemes 2018Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility 2010A stochastic control problem with delay arising in a pension fund model 2021Optimal management of defined contribution pension funds under the effect of inflation, mortality and uncertainty 2013Optimal investment strategy for the DC plan with the return of premiums clauses in a mean–variance framework

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2010A stochastic control problem with delay arising in a pension fund modelarticle · 8 shared references 2009Optimal asset allocation for aggregated defined benefit pension funds with stochastic interest ratesarticle · 8 shared references 2012Optimal asset allocation for DC pension plans under inflationarticle · 7 shared references 2017Asset allocation under loss aversion and minimum performance constraint in a DC pension plan with inflation riskarticle · 7 shared references 2013Markowitz’s mean–variance defined contribution pension fund management under inflation: A continuous-time modelarticle · 7 shared references 2014Mean–variance efficiency of DC pension plan under stochastic interest rate and mean-reverting returnsarticle · 7 shared references

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Year2010

Typearticle

Published2010-04-27

VenueFinance and Stochastics

ISSN-L0949-2984

Languageen

Citations98

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s00780-010-0127-7

openalex_workW3124675891

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2017

Asset allocation under loss aversion and minimum performance constraint in a DC pension plan with inflation risk

2016Equilibrium investment strategy for DC pension plan with default risk and return of premiums clauses under CEV model

2013Markowitz’s mean–variance defined contribution pension fund management under inflation: A continuous-time model