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Optimal dynamic asset allocation for DC plan accumulation/decumulation: ambition-CVaR - MaRDI portal

Optimal dynamic asset allocation for DC plan accumulation/decumulation: ambition-CVaR (Q784441)

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scientific article; zbMATH DE number 7226840

Language	Label	Description	Also known as
English	Optimal dynamic asset allocation for DC plan accumulation/decumulation: ambition-CVaR	scientific article; zbMATH DE number 7226840

Statements

scholarly article

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Optimal dynamic asset allocation for DC plan accumulation/decumulation: ambition-CVaR (English)

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Insurance Mathematics \& Economics

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publication date

3 August 2020

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zbMATH Keywords

optimal control

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ambition-CVaR

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asset allocation

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DC plan

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resampled backtests

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MaRDI profile type

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full work available at URL

https://doi.org/10.1016/j.insmatheco.2020.05.005

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Age-dependent investing: optimal funding and investment strategies in defined contribution pension plans when members are rational life cycle financial planners

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Numerical solution of two asset jump diffusion models for option valuation

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Nonparametric tests for pathwise properties of semimartingales

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Better than pre-commitment mean-variance portfolio allocation strategies: a semi-self-financing Hamilton-Jacobi-Bellman equation approach

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Convergence of the embedded mean-variance optimal points with discrete sampling

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Quantitative modeling of risk management strategies: stochastic reserving and hedging of variable annuity guaranteed benefits

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Multiperiod Mean Conditional Value at Risk Asset Allocation: Is It Advantageous to Be Time Consistent?

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An optimal stochastic control framework for determining the cost of hedging of variable annuities

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ROBUST ASSET ALLOCATION FOR LONG-TERM TARGET-BASED INVESTING

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Optimal Asset Allocation for Retirement Saving: Deterministic Vs. Time Consistent Adaptive Strategies

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Management of Portfolio Depletion Risk through Optimal Life Cycle Asset Allocation

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Optimal life cycle portfolio choice with variable annuities offering liquidity and investment downside protection

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A Jump-Diffusion Model for Option Pricing

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A data-driven neural network approach to optimal asset allocation for target based defined contribution pension plans

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De-risking defined benefit plans

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Research and Reality: A Literature Review on Drawing Down Retirement Financial Savings

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Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps

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Optimal retirement income tontines

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Correction to “Automatic Block-Length Selection for the Dependent Bootstrap” by D. Politis and H. White

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The annuity puzzle remains a puzzle

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The Stationary Bootstrap

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Automatic Block-Length Selection for the Dependent Bootstrap

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Time-consistent mean-variance portfolio optimization: a numerical impulse control approach

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On efficiency of mean–variance based portfolio selection in defined contribution pension schemes

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Identifiers

zbMATH Open document ID

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Mathematics Subject Classification ID

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zbMATH DE Number

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10.1016/J.INSMATHECO.2020.05.005

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Sitelinks

Mathematics(1 entry)

mardi Publication:784441

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