Optimal Asset Allocation for Retirement Saving: Deterministic Vs. Time Consistent Adaptive Strategies
From MaRDI portal
Publication:5378528
DOI10.1080/1350486X.2019.1584534zbMath1410.91413OpenAlexW3125793057WikidataQ128158908 ScholiaQ128158908MaRDI QIDQ5378528
Kenneth Vetzal, Peter A. I. Forsyth
Publication date: 3 June 2019
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/1350486x.2019.1584534
Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)
Related Items (14)
Optimal asset allocation for outperforming a stochastic benchmark target ⋮ Rule-based strategies for dynamic life cycle investment ⋮ A Stochastic Control Approach to Defined Contribution Plan Decumulation: “The Nastiest, Hardest Problem in Finance” ⋮ Short term decumulation strategies for underspending retirees ⋮ A data-driven neural network approach to optimal asset allocation for target based defined contribution pension plans ⋮ Multi-Period Mean Expected-Shortfall Strategies: ‘Cut Your Losses and Ride Your Gains’ ⋮ Beating a Benchmark: Dynamic Programming May Not Be the Right Numerical Approach ⋮ Multiperiod Mean Conditional Value at Risk Asset Allocation: Is It Advantageous to Be Time Consistent? ⋮ OPTIMAL ASSET ALLOCATION FOR DC PENSION DECUMULATION WITH A VARIABLE SPENDING RULE ⋮ Optimal performance of a tontine overlay subject to withdrawal constraints ⋮ On the Distribution of Terminal Wealth under Dynamic Mean-Variance Optimal Investment Strategies ⋮ TWO STAGE DECUMULATION STRATEGIES FOR DC PLAN INVESTORS ⋮ Optimal dynamic asset allocation for DC plan accumulation/decumulation: ambition-CVaR ⋮ OPTIMAL CONTROL OF THE DECUMULATION OF A RETIREMENT PORTFOLIO WITH VARIABLE SPENDING AND DYNAMIC ASSET ALLOCATION
Cites Work
- Unnamed Item
- Correction to “Automatic Block-Length Selection for the Dependent Bootstrap” by D. Politis and H. White
- A Jump-Diffusion Model for Option Pricing
- Better than pre-commitment mean-variance portfolio allocation strategies: a semi-self-financing Hamilton-Jacobi-Bellman equation approach
- Understanding dynamic mean variance asset allocation
- Nonparametric tests for pathwise properties of semimartingales
- A theory of Markovian time-inconsistent stochastic control in discrete time
- Continuous time mean variance asset allocation: a time-consistent strategy
- Maximum likelihood estimation of the double exponential jump-diffusion process
- Continuous-time mean-variance portfolio selection: a stochastic LQ framework
- Time-consistent mean-variance portfolio optimization: a numerical impulse control approach
- On pre-commitment aspects of a time-consistent strategy for a mean-variance investor
- Multi-period mean-variance portfolio optimization based on Monte-Carlo simulation
- Complete markets do not allow free cash flow streams
- Mean-variance target-based optimisation for defined contribution pension schemes in a stochastic framework
- Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
- The Power of Suggestion: Inertia in 401(k) Participation and Savings Behavior
- On efficiency of mean–variance based portfolio selection in defined contribution pension schemes
- Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps
- The Stationary Bootstrap
- Automatic Block-Length Selection for the Dependent Bootstrap
- Equilibrium Strategies for the Mean-Variance Investment Problem over a Random Horizon
- The 4% strategy revisited: a pre-commitment mean-variance optimal approach to wealth management
- BETTER THAN DYNAMIC MEAN‐VARIANCE: TIME INCONSISTENCY AND FREE CASH FLOW STREAM
- Block bootstrap methods and the choice of stocks for the long run
- MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION
This page was built for publication: Optimal Asset Allocation for Retirement Saving: Deterministic Vs. Time Consistent Adaptive Strategies
