Dynamic portfolio choicepension plansWe study the impact of regulations on the investment decisions of a defined benefits pension plan. We assess the influence of ex ante (preventive) and ex post (punitive) risk constraints on the gains to dynamic, as opposed to myopic, decision making. We ...
bull and bearoptimal consumptionportfolio choiceThis paper studies strategic asset allocation and consumption choice in the presence of regime switching in asset... AT Massimo Guidolin - 《General Information》 被引量: 68发表: 2005年 Robust Optimal Portfolio Choice Under Markovian Regime-switching Model...
The relationship between the optimal asset allocation and the functional form of power utility is investigated for defined-contribution (DC) pension plans. The horizon dependence of optimal pension portfolios is determined by the argument of the power utility function. The optimal composition of pension...
Optimal Asset Allocation in Asset Liability Management JHV Binsbergen,MW Brandt,JHV Binsbergen,... 被引量: 67发表: 2007年 Strategic and Tactical Allocation to Commodities for Retirement Savings Schemes Asset Liability ManagementCommoditiesOptimal portfolio choicePension fundsStrategic asset allocationTactical ...
Asset allocation, life expectancy and shortfall Financial Services Review (1994) W. Horneff et al. Following the rules: Integrating asset allocation and annuitization in retirement portfolios Insurance: Mathematics and Economics (2008) R. Merton Optimum consumption and portfolio rules in a continuous-ti...
Asset allocation: How much does model choice matter? This paper analyzes the optimal portfolio decision of a CRRA investor in models with stochastic volatility and stochastic jumps. The investor follows a buy... N Branger,A Hansis - 《Journal of Banking & Finance》 被引量: 11发表: 2012年 ...
Portfoliooptimization MV/CVaRportfolios Copula Investmentstrategy abstract Westudytheassetallocationofalinearloss-averse(LA)investorandcompareittothemoretraditional mean-variance(MV)andconditionalvalue-at-risk(CVaR)investors.Firstwederiveconditionsunder whichtheLAproblemisequivalenttotheMVandCVaRproblemsandsolve...
Optimal DC Pension Fund Management and the Dangers of Longevity Risk In order to gauge the impact of longevity risk we introduce, into the asset mix of the portfolio choice problem, a synthetic longevity-linked security. We determine the relative demand for this asset, and the value added throu...
Asset Allocation and Location over the Life Cycle with Survival-Contingent Payouts This paper shows how lifelong survival-contingent payouts can enhance investor wellbeing in the context of a portfolio choice model which integrates uninsu... WJ Horneff,Raimond H Maurer,OS Mitchell,... - 《Nber Wo...
. Chen and Epstein [3] formulate the recursive multiple-priors utility in continuous time. They also apply this utility to a Lucas-style representative agent model in order to study asset pricing implications. Concerning the characterization of optimal consumption and portfolio choice with both ...