Optimal Asset Allocation for Retirement Saving: Deterministic Vs. Time Consistent Adaptive Strategies (Q5378528): Difference between revisions

Latest revision as of 20:33, 4 August 2024

scientific article; zbMATH DE number 7061208

Language	Label	Description	Also known as
English	Optimal Asset Allocation for Retirement Saving: Deterministic Vs. Time Consistent Adaptive Strategies	scientific article; zbMATH DE number 7061208

Statements

instance of

scholarly article

0 references

title

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

0 references

published in

Applied Mathematical Finance

0 references

publication date

3 June 2019

0 references

zbMATH Keywords

time-consistent mean-variance

0 references

quadratic shortfall

0 references

dynamic asset allocation

0 references

0 references

0 references

MaRDI publication profile

0 references

cites work

Complete markets do not allow free cash flow streams

0 references

A theory of Markovian time-inconsistent stochastic control in discrete time

0 references

MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION

0 references

Block bootstrap methods and the choice of stocks for the long run

0 references

Multi-period mean-variance portfolio optimization based on Monte-Carlo simulation

0 references

On pre-commitment aspects of a time-consistent strategy for a mean-variance investor

0 references

Nonparametric tests for pathwise properties of semimartingales

0 references

BETTER THAN DYNAMIC MEAN‐VARIANCE: TIME INCONSISTENCY AND FREE CASH FLOW STREAM

0 references

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

0 references

The 4% strategy revisited: a pre-commitment mean-variance optimal approach to wealth management

0 references

A Jump-Diffusion Model for Option Pricing

0 references

Equilibrium Strategies for the Mean-Variance Investment Problem over a Random Horizon

0 references

Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation

0 references

Understanding dynamic mean variance asset allocation

0 references

The Power of Suggestion: Inertia in 401(k) Participation and Savings Behavior

0 references

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

0 references

Mean-variance target-based optimisation for defined contribution pension schemes in a stochastic framework

0 references

Q5491447

0 references

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

0 references

The Stationary Bootstrap

0 references

Automatic Block-Length Selection for the Dependent Bootstrap

0 references

Maximum likelihood estimation of the double exponential jump-diffusion process

0 references

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

0 references

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

0 references

Continuous time mean variance asset allocation: a time-consistent strategy

0 references

Continuous-time mean-variance portfolio selection: a stochastic LQ framework

0 references

full work available at URL

https://doi.org/10.1080/1350486x.2019.1584534

0 references

Identifiers

zbMATH Open document ID

1410.91413

0 references

DOI

10.1080/1350486X.2019.1584534

0 references

Mathematics Subject Classification ID

0 references

0 references

0 references

0 references

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:5378528

@@ Property / author @@
+Peter A. I. Forsyth
@@ Property / author: Peter A. I. Forsyth / rank @@
+Normal rank
@@ Property / author @@
+Kenneth Vetzal
@@ Property / author: Kenneth Vetzal / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / cites work @@
+Complete markets do not allow free cash flow streams
+Normal rank
@@ Property / cites work @@
+A theory of Markovian time-inconsistent stochastic control in discrete time
+Normal rank
@@ Property / cites work @@
+MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION
+Normal rank
@@ Property / cites work @@
+Block bootstrap methods and the choice of stocks for the long run
+Normal rank
@@ Property / cites work @@
+Multi-period mean-variance portfolio optimization based on Monte-Carlo simulation
+Normal rank
@@ Property / cites work @@
+On pre-commitment aspects of a time-consistent strategy for a mean-variance investor
+Normal rank
@@ Property / cites work @@
+Nonparametric tests for pathwise properties of semimartingales
+Normal rank
@@ Property / cites work @@
+BETTER THAN DYNAMIC MEAN‐VARIANCE: TIME INCONSISTENCY AND FREE CASH FLOW STREAM
+Normal rank
@@ Property / cites work @@
+Better than pre-commitment mean-variance portfolio allocation strategies: a semi-self-financing Hamilton-Jacobi-Bellman equation approach
+Normal rank
@@ Property / cites work @@
+The 4% strategy revisited: a pre-commitment mean-variance optimal approach to wealth management
+Normal rank
@@ Property / cites work @@
+A Jump-Diffusion Model for Option Pricing
@@ Property / cites work: A Jump-Diffusion Model for Option Pricing / rank @@
+Normal rank
@@ Property / cites work @@
+Equilibrium Strategies for the Mean-Variance Investment Problem over a Random Horizon
+Normal rank
@@ Property / cites work @@
+Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
+Normal rank
@@ Property / cites work @@
+Understanding dynamic mean variance asset allocation
+Normal rank
@@ Property / cites work @@
+The Power of Suggestion: Inertia in 401(k) Participation and Savings Behavior
+Normal rank
@@ Property / cites work @@
+Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps
+Normal rank
@@ Property / cites work @@
+Mean-variance target-based optimisation for defined contribution pension schemes in a stochastic framework
+Normal rank
@@ Property / cites work @@
+Q5491447
@@ Property / cites work: Q5491447 / rank @@
+Normal rank
@@ Property / cites work @@
+Correction to “Automatic Block-Length Selection for the Dependent Bootstrap” by D. Politis and H. White
+Normal rank
@@ Property / cites work @@
+The Stationary Bootstrap
@@ Property / cites work: The Stationary Bootstrap / rank @@
+Normal rank
@@ Property / cites work @@
+Automatic Block-Length Selection for the Dependent Bootstrap
+Normal rank
@@ Property / cites work @@
+Maximum likelihood estimation of the double exponential jump-diffusion process
+Normal rank
@@ Property / cites work @@
+Time-consistent mean-variance portfolio optimization: a numerical impulse control approach
+Normal rank
@@ Property / cites work @@
+On efficiency of mean–variance based portfolio selection in defined contribution pension schemes
+Normal rank
@@ Property / cites work @@
+Continuous time mean variance asset allocation: a time-consistent strategy
+Normal rank
@@ Property / cites work @@
+Continuous-time mean-variance portfolio selection: a stochastic LQ framework
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1080/1350486x.2019.1584534
+Normal rank
@@ Property / OpenAlex ID @@
+W3125793057
@@ Property / OpenAlex ID: W3125793057 / rank @@
+Normal rank
@@ Property / Wikidata QID @@
+Q128158908
@@ Property / Wikidata QID: Q128158908 / rank @@
+Normal rank