PORTFOLIO INSURANCE STRATEGIES FOR A TARGET ANNUITIZATION FUND
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Publication:5140084
DOI10.1017/asb.2020.24zbMath1454.91209OpenAlexW3124116178MaRDI QIDQ5140084
Michael Sherris, Adam W. Shao, Mengyi Xu
Publication date: 13 December 2020
Published in: ASTIN Bulletin (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/asb.2020.24
Cites Work
- Target-driven investing: optimal investment strategies in defined contribution pension plans under loss aversion
- Stochastic dominance of portfolio insurance strategies OBPI versus CPPI
- Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans
- Theory of constant proportion portfolio insurance
- Optimal pension management in a stochastic framework.
- Constant proportion portfolio insurance in defined contribution pension plan management under discrete-time trading
- Age-dependent investing: optimal funding and investment strategies in defined contribution pension plans when members are rational life cycle financial planners
- Effectiveness of CPPI strategies under discrete-time trading
- Best portfolio insurance for long-term investment strategies in realistic conditions
- Optimal asset allocation for DC pension plans under inflation
- Optimal management of DC pension plan in a stochastic interest rate and stochastic volatility framework
- Dynamic preferences for popular investment strategies in pension funds
- Changes of numéraire, changes of probability measure and option pricing
- Option pricing when underlying stock returns are discontinuous
- Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund
- Pensionmetrics: Stochastic pension plan design and value-at-risk during the accumulation phase
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