Optimal annuity portfolio under inflation risk

DOI10.1007/s10287-015-0234-1zbMath1356.91081OpenAlexW2069345706WikidataQ58826331 ScholiaQ58826331MaRDI QIDQ2355721

Alex Weissensteiner, Agnieszka Karolina Konicz, David Pisinger

Publication date: 24 July 2015

Published in: Computational Management Science (Search for Journal in Brave)

Full work available at URL: https://backend.orbit.dtu.dk/ws/files/110937278/Optimal_annuity_portfolio.pdf

zbMATH Keywords

multi-stage stochastic programmingretirement planningCRRA utilityinflation-linked annuityloss disutility

Mathematics Subject Classification ID

Related Items (2)

Optimal consumption and portfolio selection for retirees with the guarantee of minimum welfare ⋮ Optimal investment for a retirement plan with deferred annuities allowing for inflation and labour income risk

Cites Work

• Unnamed Item
• Forecasting the term structure of government bond yields
• Generating Scenario Trees for Multistage Decision Problems
• Target-driven investing: optimal investment strategies in defined contribution pension plans under loss aversion
• Optimal savings management for individuals with defined contribution pension plans
• Optimal investment choices post-retirement in a defined contribution pension scheme
• Epi-convergent discretizations of multistage stochastic programs via integration quadratures
• Annuitization and asset allocation
• Barycentric scenario trees in convex multistage stochastic programming
• Inference of statistical bounds for multistage stochastic programming problems
• The annuity puzzle remains a puzzle
• A heuristic for moment-matching scenario generation
• Generalized bounds for convex multistage stochastic programs.
• Financial planning for Young households
• Optimal asset allocation for DC pension plans under inflation
• Financial scenario generation for stochastic multi-stage decision processes as facility location problems
• Income drawdown option with minimum guarantee
• A combined stochastic programming and optimal control approach to personal finance and pensions
• Sequential importance sampling algorithms for dynamic stochastic programming
• Formulation of the Russell-Yasuda Kasai Financial Planning Model
• Optimal Annuity Risk Management*
• Lectures on Stochastic Programming
• Some Notes on the Dynamics and Optimal Control of Stochastic Pension Fund Models in Continuous Time
• Scenario Tree Generation for Multi-stage Stochastic Programs
• Scenario tree generation for multiperiod financial optimization of optimal discretization
• Scenario generation and stochastic programming models for asset liability management

This page was built for publication: Optimal annuity portfolio under inflation risk