Optimal design of the guarantee for defined contribution funds
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Publication:953713
DOI10.1016/J.JEDC.2003.10.003zbMath1202.91124OpenAlexW2061537034MaRDI QIDQ953713
Griselda Deelstra, Pierre-François Koehl, Martino Grasselli
Publication date: 6 November 2008
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://dipot.ulb.ac.be/dspace/bitstream/2013/7602/1/gd-0015.pdf
Stochastic programming (90C15) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)
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Cites Work
- Optimization of consumption with labor income
- Optimal investment strategies in the presence of a minimum guarantee.
- Optimal investment strategies in a CIR framework
- Aggregation and Linearity in the Provision of Intertemporal Incentives
- An equilibrium characterization of the term structure
- Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund
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