Optimal portfolio and background risk: an exact and an approximated solution.

DOI10.1016/S0167-6687(02)00154-3zbMath1055.91054MaRDI QIDQ1413356

Francesco Menoncin

Publication date: 16 November 2003

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

zbMATH Keywords

Asset allocationFeynman-Kač theoremInflation riskStochastic investment opportunities

Mathematics Subject Classification ID

Related Items (11)

A fuzzy portfolio selection model with background risk ⋮ STUDY ON PORTFOLIO MODEL UNDER BACKGROUND RISK AND FRACTAL MARKET ⋮ Cyclical risk exposure of pension funds: a theoretical framework ⋮ A game of information security investment considering security insurance and complementary information assets ⋮ Risky asset allocation and consumption rule in the presence of background risk and insurance markets ⋮ Asset allocation for a DC pension fund under stochastic interest rates and inflation-protected guarantee ⋮ Stochastic optimal control of annuity contracts. ⋮ Optimal pension management in a stochastic framework. ⋮ The role of longevity bonds in optimal portfolios ⋮ Uncertain portfolio selection with background risk ⋮ Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases

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