A data-driven neural network approach to optimal asset allocation for target based defined contribution pension plans
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Publication:2415977
DOI10.1016/j.insmatheco.2019.03.001zbMath1411.91304OpenAlexW2906454042WikidataQ128231460 ScholiaQ128231460MaRDI QIDQ2415977
Yuying Li, Peter A. I. Forsyth
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.2019.03.001
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Optimal asset allocation for outperforming a stochastic benchmark target ⋮ Revisiting the \(1/N\)-strategy: a neural network framework for optimal strategies ⋮ Analyzing the interest rate risk of equity-indexed annuities via scenario matrices ⋮ Beating a Benchmark: Dynamic Programming May Not Be the Right Numerical Approach ⋮ Multiperiod Mean Conditional Value at Risk Asset Allocation: Is It Advantageous to Be Time Consistent? ⋮ The surprising robustness of dynamic mean-variance portfolio optimization to model misspecification errors ⋮ On the Distribution of Terminal Wealth under Dynamic Mean-Variance Optimal Investment Strategies ⋮ Optimal dynamic asset allocation for DC plan accumulation/decumulation: ambition-CVaR
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