Optimal asset allocation for DC pension decumulation with a variable spending rule
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Recommendations
- Optimal control of the decumulation of a retirement portfolio with variable spending and dynamic asset allocation
- A stochastic control approach to defined contribution plan decumulation: \textit{``The nastiest, hardest problem in finance}
- Two stage decumulation strategies for dc plan investors
- Short term decumulation strategies for underspending retirees
- Optimal dynamic asset allocation for DC plan accumulation/decumulation: ambition-CVaR
Cites work
- A jump-diffusion model for option pricing
- Age-dependent investing: optimal funding and investment strategies in defined contribution pension plans when members are rational life cycle financial planners
- Annuitization and asset allocation
- Annuitization and asset allocation under exponential utility
- Automatic Block-Length Selection for the Dependent Bootstrap
- Better than pre-commitment mean-variance portfolio allocation strategies: a semi-self-financing Hamilton-Jacobi-Bellman equation approach
- Continuous time mean-variance optimal portfolio allocation under jump diffusion: an numerical impulse control approach
- Correction to “Automatic Block-Length Selection for the Dependent Bootstrap” by D. Politis and H. White
- Efficient post-retirement asset allocation
- Management of portfolio depletion risk through optimal life cycle asset allocation
- Mean-Quadratic Variation Portfolio Optimization: A Desirable Alternative to Time-Consistent Mean-Variance Optimization?
- Mean-variance target-based optimisation for defined contribution pension schemes in a stochastic framework
- Non-parametric threshold estimation for models with stochastic diffusion coefficient and jumps
- Nonparametric tests for pathwise properties of semimartingales
- Optimal Asset Allocation for Retirement Saving: Deterministic Vs. Time Consistent Adaptive Strategies
- Optimal investment choices post-retirement in a defined contribution pension scheme
- Optimal trade execution: a mean quadratic variation approach
- Pensionmetrics 2: Stochastic pension plan design during the distribution phase.
- Research and Reality: A Literature Review on Drawing Down Retirement Financial Savings
- Robust asset allocation for long-term target-based investing
- The annuity puzzle remains a puzzle
- The Management of Decumulation Risks in a Defined Contribution Pension Plan
Cited in
(10)- Asset allocation for a DC pension plan with learning about stock return predictability
- Optimal assets allocation and benefit outgo policies of DC pension plan with compulsory conversion claims
- Short term decumulation strategies for underspending retirees
- The 4\% strategy revisited: a pre-commitment mean-variance optimal approach to wealth management
- Two stage decumulation strategies for dc plan investors
- Optimal control of the decumulation of a retirement portfolio with variable spending and dynamic asset allocation
- A stochastic control approach to defined contribution plan decumulation: \textit{``The nastiest, hardest problem in finance}
- Optimal performance of a tontine overlay subject to withdrawal constraints
- Optimal defined-contribution pension management with financial and mortality risks
- Optimal dynamic asset allocation for DC plan accumulation/decumulation: ambition-CVaR
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