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Pension funds with a minimum guarantee: a stochastic control approach
16 references·16 citing·33 second hopsampled
Pension funds with a minimum guarantee: a stochastic control approach (2010)Pension funds with a minimum guarantee: a…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Stochastic lifestyling: Optimal dynamic asset allocation for defined contribution pension plans (2005)Stochastic lifestyling: Optim…Optimal investment strategies in the presence of a minimum guarantee (2003)Optimal investment strategies…High‐Water Marks and Hedge Fund Management Contracts (2003)High‐Water Marks and Hedge Fu…Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund (2001)Optimal management under stoc…Stochastic Controls (1999)Stochastic ControlsStochastic controls : Hamiltonian systems and HJB equations (1999)Stochastic controls : Hamilto…Continuous Martingales and Brownian Motion (1999)Continuous Martingales and Br…Hedging in incomplete markets with HARA utility (1997)Hedging in incomplete markets…Brownian motion and stochastic calculus (1991)Brownian motion and stochasti…Performance Incentive Fees: An Agency Theoretic Approach (1987)Performance Incentive Fees: A…Explicit Solution of a General Consumption/Investment Problem (1986)Explicit Solution of a Genera…Stochastic Differential Equations and Diffusion Processes (1983)Stochastic Differential Equat…Stochastic Differential Equations and Diffusion Processes (1981)Stochastic Differential Equat…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 …Optimal management of defined contribution pension funds under the effect of inflation, mortality and uncertainty (2021)Optimal management of defined…Equilibrium investment strategy for a defined contribution pension plan under stochastic interest rate and stochastic volatility (2019)Equilibrium investment strate…Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility (2018)Ambiguity aversion and optima…Mean–variance target-based optimisation for defined contribution pension schemes in a stochastic framework (2017)Mean–variance target-based op…Asset allocation under loss aversion and minimum performance constraint in a DC pension plan with inflation risk (2017)Asset allocation under loss a…Equilibrium investment strategy for DC pension plan with default risk and return of premiums clauses under CEV model (2016)Equilibrium investment strate…Nash equilibrium strategies for a defined contribution pension management (2015)Nash equilibrium strategies f…Equilibrium investment strategy for defined-contribution pension schemes with generalized mean–variance criterion and mortality risk (2015)Equilibrium investment strate…Mean–variance efficiency of DC pension plan under stochastic interest rate and mean-reverting returns (2014)Mean–variance efficiency of D…Investment/Consumption Problem in Illiquid Markets with Regime-Switching (2014)Investment/Consumption Proble…Optimal investment strategy for the DC plan with the return of premiums clauses in a mean–variance framework (2013)Optimal investment strategy f…Markowitz’s mean–variance defined contribution pension fund management under inflation: A continuous-time model (2013)Markowitz’s mean–variance def…Asset allocation for a DC pension fund with stochastic income and mortality risk: A multi-period mean–variance framework (2013)Asset allocation for a DC pen…On efficiency of mean–variance based portfolio selection in defined contribution pension schemes (2012)On efficiency of mean–varianc…Choosing the optimal annuitization time post-retirement (2010)Choosing the optimal annuitiz…A stochastic control problem with delay arising in a pension fund model (2010)A stochastic control problem …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)Option pricing when underlying stock returns are discontinuous (1976)Risk Taking by Mutual Funds as a Response to Incentives (1995)Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds (1997)Do the Best Hedge Funds Hedge? (2010)Equilibrium prices in the presence of delegated portfolio management (2011)Hedge Fund Stock Trading in the Financial Crisis of 2007-2009 (2011)Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type (2007)Nonlinear Expectations and Stochastic Calculus under Uncertainty (2019)Backward Stochastic Differential Equations in Finance (1997)The Variance Gamma Process and Option Pricing (1998)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach (2002)A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Controlled Markov Processes and Viscosity Solutions (2005)Pricing foreign currency options under stochastic interest rates (1991)Stochastic analysis, rough path analysis and fractional Brownian motions (2002)Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps (2009)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs. II (2000)Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model (2003)CONTINUOUS‐TIME MEAN‐VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION (2005)
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References

  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 1999Continuous Martingales and Brownian Motion6,200 cited
  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case5,199 cited
  • 1983Stochastic Differential Equations and Diffusion Processes3,836 cited
  • 1991Brownian motion and stochastic calculus2,089 cited
  • 1999Stochastic controls : Hamiltonian systems and HJB equations1,780 cited
  • 1999Stochastic Controls1,243 cited
  • 1981Stochastic Differential Equations and Diffusion Processes597 cited
  • 2003High‐Water Marks and Hedge Fund Management Contracts595 cited
  • 1986Explicit Solution of a General Consumption/Investment Problem387 cited
  • 2005Stochastic lifestyling: Optimal dynamic asset allocation for defined contribution pension plans309 cited
  • 1987Performance Incentive Fees: An Agency Theoretic Approach287 cited
  • 2001Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund284 cited
  • 1997Hedging in incomplete markets with HARA utility246 cited

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  • 2003Optimal investment strategies in the presence of a minimum guarantee210 cited
  • Cited by

    • 2012On efficiency of mean–variance based portfolio selection in defined contribution pension schemes106 cited
    • 2018Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility90 cited
    • 2010A stochastic control problem with delay arising in a pension fund model89 cited
    • 2021Optimal management of defined contribution pension funds under the effect of inflation, mortality and uncertainty85 cited
    • 2013Optimal investment strategy for the DC plan with the return of premiums clauses in a mean–variance framework80 cited
    • 2017Asset allocation under loss aversion and minimum performance constraint in a DC pension plan with inflation risk74 cited
    • 2016Equilibrium investment strategy for DC pension plan with default risk and return of premiums clauses under CEV model67 cited
    • 2013Markowitz’s mean–variance defined contribution pension fund management under inflation: A continuous-time model63 cited
    • 2014Mean–variance efficiency of DC pension plan under stochastic interest rate and mean-reverting returns61 cited
    • 2015Equilibrium investment strategy for defined-contribution pension schemes with generalized mean–variance criterion and mortality risk53 cited
    • 2013Asset allocation for a DC pension fund with stochastic income and mortality risk: A multi-period mean–variance framework53 cited
    • 2015Nash equilibrium strategies for a defined contribution pension management47 cited
    • 2017Mean–variance target-based optimisation for defined contribution pension schemes in a stochastic framework41 cited
    • 2010Choosing the optimal annuitization time post-retirement40 cited
    • 2019Equilibrium investment strategy for a defined contribution pension plan under stochastic interest rate and stochastic volatility37 cited
    • 2014Investment/Consumption Problem in Illiquid Markets with Regime-Switching34 cited