Constant proportion portfolio insurance in defined contribution pension plan management
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Publication:1621918
DOI10.1007/s10479-017-2449-8zbMath1417.91286OpenAlexW2593724230MaRDI QIDQ1621918
A. Sevtap Selcuk-Kestel, Busra Zeynep Temocin, Ralf Korn
Publication date: 12 November 2018
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: http://etd.lib.metu.edu.tr/upload/12619628/index.pdf
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Related Items (4)
Constrained non-concave utility maximization: an application to life insurance contracts with guarantees ⋮ Multi-period Telser's safety-first portfolio selection problem in a defined contribution pension plan ⋮ A collective investment problem in a stochastic volatility environment: the impact of sharing rules ⋮ Multi-period optimal investment choice post-retirement with inter-temporal restrictions in a defined contribution pension plan
Cites Work
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- Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans
- A Stochastic Control Approach to Portfolio Problems with Stochastic Interest Rates
- Pricing and hedging gap risk
- Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund
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