Can asset allocation limits determine portfolio risk-return profiles in DC pension schemes?

DOI10.1016/J.INSMATHECO.2019.02.009MaRDI QIDQ2415973zbMATH OpenOpenAlexWikidataFDO

Authors Tomás Gutierrez, Bernardo K. Pagnoncelli, Davi Michel Valladão, Arturo O. Cifuentes

Publication date 23 May 2019

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2019.02.009

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• 60 years of portfolio optimization: practical challenges and current trends
• An adaptive robust portfolio optimization model with loss constraints based on data-driven polyhedral uncertainty sets
• Asset liability management for open pension schemes using multistage stochastic programming under Solvency-II-based regulatory constraints
• On the effectiveness of scenario generation techniques in single-period portfolio optimization

Cited in

(4)

• Asset allocation for a DC pension plan with learning about stock return predictability
• Optimal insurance contract specification in the upstream sector of the oil and gas industry
• An Evolutionary Approach to Asset Allocation in Defined Contribution Pension Schemes
• A modified CTGAN-plus-features-based method for optimal asset allocation

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