Optimal Asset Allocation for Retirement Saving: Deterministic Vs. Time Consistent Adaptive Strategies
From MaRDI portal
Recommendations
- Optimal asset allocation, consumption and retirement time with the variation in habitual persistence
- Optimal retirement and portfolio selection with consumption ratcheting
- scientific article; zbMATH DE number 5305361
- Efficient post-retirement asset allocation
- Optimal consumption-portfolio choices and retirement planning
- A framework algorithm to compute optimal asset allocation for retirement with behavioral utilities
- Optimal control of the decumulation of a retirement portfolio with variable spending and dynamic asset allocation
- Optimal retirement savings over the life cycle: a deterministic analysis in closed form
- Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans
- Dynamic asset allocation with consumption ratcheting post retirement
Cites work
- A jump-diffusion model for option pricing
- A theory of Markovian time-inconsistent stochastic control in discrete time
- Automatic Block-Length Selection for the Dependent Bootstrap
- Better than dynamic mean-variance: time inconsistency and free cash flow stream
- Better than pre-commitment mean-variance portfolio allocation strategies: a semi-self-financing Hamilton-Jacobi-Bellman equation approach
- Block bootstrap methods and the choice of stocks for the long run
- Complete markets do not allow free cash flow streams
- Continuous time mean variance asset allocation: a time-consistent strategy
- Continuous-time mean-variance portfolio selection: a stochastic LQ framework
- Correction to “Automatic Block-Length Selection for the Dependent Bootstrap” by D. Politis and H. White
- Equilibrium strategies for the mean-variance investment problem over a random horizon
- scientific article; zbMATH DE number 5060482 (Why is no real title available?)
- Maximum likelihood estimation of the double exponential jump-diffusion process
- Mean-variance portfolio optimization with state-dependent risk aversion
- Mean-variance target-based optimisation for defined contribution pension schemes in a stochastic framework
- Multi-period mean-variance portfolio optimization based on Monte-Carlo simulation
- Non-parametric threshold estimation for models with stochastic diffusion coefficient and jumps
- Nonparametric tests for pathwise properties of semimartingales
- On efficiency of mean-variance based portfolio selection in defined contribution pension schemes
- On pre-commitment aspects of a time-consistent strategy for a mean-variance investor
- Optimal dynamic portfolio selection: multiperiod mean-variance formulation
- The 4\% strategy revisited: a pre-commitment mean-variance optimal approach to wealth management
- The power of suggestion: Inertia in 401(k) participation and savings behavior
- The Stationary Bootstrap
- Time-consistent mean-variance portfolio optimization: a numerical impulse control approach
- Understanding dynamic mean variance asset allocation
Cited in
(23)- Rule-based strategies for dynamic life cycle investment
- A data-driven neural network approach to optimal asset allocation for target based defined contribution pension plans
- A framework algorithm to compute optimal asset allocation for retirement with behavioral utilities
- Short term decumulation strategies for underspending retirees
- On the distribution of terminal wealth under dynamic mean-variance optimal investment strategies
- Two stage decumulation strategies for dc plan investors
- Optimal control of the decumulation of a retirement portfolio with variable spending and dynamic asset allocation
- Optimal asset allocation for outperforming a stochastic benchmark target
- A stochastic control approach to defined contribution plan decumulation: \textit{``The nastiest, hardest problem in finance}
- 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
- Dynamic asset allocation for target date funds under the benchmark approach
- Optimal retirement savings over the life cycle: a deterministic analysis in closed form
- 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
- Optimal performance of a tontine overlay subject to withdrawal constraints
- Across-time risk-aware strategies for outperforming a benchmark
- A buy-hold-sell pension saving strategy
- Withdrawal success optimization
- Equilibrium intergenerational risk-sharing design for a target benefit pension plan
- Optimal hurdle rate and investment policy in lifetime pension pools
- Multiperiod mean-buffered probability of exceedance in defined contribution portfolio optimization
- Optimal dynamic asset allocation for DC plan accumulation/decumulation: ambition-CVaR
This page was built for publication: Optimal Asset Allocation for Retirement Saving: Deterministic Vs. Time Consistent Adaptive Strategies
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5378528)
