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Optimal investment and benefit adjustment problem for a target benefit pension plan with Cobb-Douglas utility and Epstein-Zin recursive utility
16 references·0 citing·38 second hop
Optimal investment and benefit adjustment problem for a target benefit pension plan with Cobb-Douglas utility and Epstein-Zin recursive utility (2021)Optimal investment and benefit adjustment…Financial Asset Pricing Theory (2013)Financial Asset Pricing TheoryOn efficiency of mean–variance based portfolio selection in defined contribution pension schemes (2012)On efficiency of mean–varianc…Intergenerational risk sharing within funded pension schemes (2010)Intergenerational risk sharin…Intergenerational risk-sharing and risk-taking of a pension fund (2007)Intergenerational risk-sharin…Saving and investing for early retirement: A theoretical analysis☆ (2006)Saving and investing for earl…Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets (2005)Dynamic Consumption and Portf…Optimal investment choices post-retirement in a defined contribution pension scheme (2004)Optimal investment choices po…Optimal investment strategies and risk measures in defined contribution pension schemes (2002)Optimal investment strategies…Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets (1999)Dynamic Consumption and Portf…Stochastic Differential Utility (1992)Stochastic Differential Utili…Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Substitution, Risk Aversion, …Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon (1987)Optimal Portfolio and Consump…Temporal von neumann-morgenstern and induced preferences (1979)Temporal von neumann-morgenst…Temporal Resolution of Uncertainty and Dynamic Choice Theory (1978)Temporal Resolution of Uncert…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 …Asset Prices in an Exchange Economy (1978)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)The Dual Theory of Choice under Risk (1987)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Investor Psychology and Asset Pricing (2001)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)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability (2005)Correlation Risk and Optimal Portfolio Choice (2010)Crashes, Volatility, and the Equity Premium: Lessons from S&P 500 Options (2010)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)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)Consumption and Portfolio Decisions when Expected Returns are Time Varying (1999)Asset Pricing at the Millennium (2000)Robust Portfolio Rules and Asset Pricing (2004)Brownian Motion and Stochastic Calculus (2007)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)An equilibrium characterization of the term structure (1977)Utility Theory for Decision Making (1971)A Smooth Model of Decision Making under Ambiguity (2005)Expected Stock Returns and Variance Risk Premia (2009)Saving and Liquidity Constraints (1991)Saving and Investing Over the Life Cycle and the Role of Collective Pension Funds (2007)Retirement, pensions, and ageing (2008)Option pricing: A simplified approach (1979)Dynamic Asset Pricing Theory. (1993)Lifetime consumption and investment: Retirement and constrained borrowing (2009)Heterogeneity and Portfolio Choice: Theory and Evidence (2010)Portfolio choice in retirement: Health risk and the demand for annuities, housing, and risky assets (2016)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Does Option Compensation Increase Managerial Risk Appetite? (2000)Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)Estimation of affine asset pricing models using the empirical characteristic function (2001)
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References

  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case5,199 cited
  • 1989Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework4,270 cited
  • 1978Temporal Resolution of Uncertainty and Dynamic Choice Theory1,822 cited
  • 1992Stochastic Differential Utility1,165 cited
  • 1987Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon1,106 cited
  • 2005Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets418 cited
  • 1999Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets363 cited
  • 2007Intergenerational risk-sharing and risk-taking of a pension fund270 cited
  • 2006Saving and investing for early retirement: A theoretical analysis☆262 cited
  • 2002Optimal investment strategies and risk measures in defined contribution pension schemes182 cited
  • 2010Intergenerational risk sharing within funded pension schemes182 cited
  • 1979Temporal von neumann-morgenstern and induced preferences172 cited
  • 2004Optimal investment choices post-retirement in a defined contribution pension scheme148 cited

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  • 2012On efficiency of mean–variance based portfolio selection in defined contribution pension schemes106 cited
  • 2013Financial Asset Pricing Theory91 cited
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