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Optimal Asset Allocation for Retirement Saving: Deterministic Vs. Time Consistent Adaptive Strategies
16 references·1 citing·43 second hop
Optimal Asset Allocation for Retirement Saving: Deterministic Vs. Time Consistent Adaptive Strategies (2019)Optimal Asset Allocation for Retirement S…A theory of Markovian time-inconsistent stochastic control in discrete time (2014)A theory of Markovian time-in…Behavioral Economics and the Retirement Savings Crisis (2013)Behavioral Economics and the …MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION (2012)MEAN–VARIANCE PORTFOLIO OPTIM…Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data (2012)Analyzing the Spectrum of Ass…Dynamic Mean-Variance Asset Allocation (2010)Dynamic Mean-Variance Asset A…Continuous time mean variance asset allocation: A time-consistent strategy (2010)Continuous time mean variance…Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps (2009)Non‐parametric Threshold Esti…Heuristics and Biases in Retirement Savings Behavior (2007)Heuristics and Biases in Reti…Option Pricing Under a Double Exponential Jump Diffusion Model (2004)Option Pricing Under a Double…For Better or for Worse (2004)For Better or for WorseA Jump-Diffusion Model for Option Pricing (2002)A Jump-Diffusion Model for Op…The Power of Suggestion: Inertia in 401(k) Participation and Savings Behavior (2001)The Power of Suggestion: Iner…Naive Diversification Strategies in Defined Contribution Saving Plans (2001)Naive Diversification Strateg…Energy derivatives : pricing and risk management (2000)Energy derivatives : pricing …Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)Continuous-Time Mean-Variance…A History of Interest Rates. (1978)A History of Interest Rates.A Data Driven Neural Network Approach to Optimal Asset Allocation for Target Based Defined Contribution Pension Plans (2018)A Data Driven Neural Network …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)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)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)Advances in prospect theory: Cumulative representation of uncertainty (1992)Exponential Growth Bias and Household Finance (2009)The Behavior of Individual Investors (2013)Financial well-being: A conceptualization and research agenda (2017)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 Behavior of Stock-Market Prices (1965)The Pricing of Options and Corporate Liabilities (1973)Time-changed Lévy processes and option pricing (2003)How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk? (2012)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)Judgment under Uncertainty: Heuristics and Biases (1975)The Framing of Decisions and the Psychology of Choice (1981)Doing It Now or Later (1999)Maps of Bounded Rationality: Psychology for Behavioral Economics (2003)The Economic Importance of Financial Literacy: Theory and Evidence (2014)Pricing and Hedging Spread Options (2003)Regime jumps in electricity prices (2003)Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality (2005)Individual differences in reasoning: Implications for the rationality debate? (2000)Heuristics and Biases: The Psychology of Intuitive Judgment (2004)Heuristic Decision Making (2010)General Purpose Technologies (2005)The risk return tradeoff in the long run: 1836–2003 (2007)Optimal Bank Capital (2012)
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References

  • 2001The Power of Suggestion: Inertia in 401(k) Participation and Savings Behavior2,732 cited
  • 2002A Jump-Diffusion Model for Option Pricing1,895 cited
  • 2001Naive Diversification Strategies in Defined Contribution Saving Plans1,538 cited
  • 2000Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework1,009 cited
  • 2007Heuristics and Biases in Retirement Savings Behavior931 cited
  • 2004Option Pricing Under a Double Exponential Jump Diffusion Model654 cited
  • 2010Dynamic Mean-Variance Asset Allocation593 cited
  • 1978A History of Interest Rates.540 cited
  • 2012MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION505 cited
  • 2000Energy derivatives : pricing and risk management495 cited
  • 2009Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps448 cited
  • 2013Behavioral Economics and the Retirement Savings Crisis333 cited
  • 2004For Better or for Worse286 cited
  • 2014A theory of Markovian time-inconsistent stochastic control in discrete time224 cited
  • 2012Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data176 cited

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  • 2010Continuous time mean variance asset allocation: A time-consistent strategy119 cited
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    • 2018A Data Driven Neural Network Approach to Optimal Asset Allocation for Target Based Defined Contribution Pension Plans30 cited