Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases
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Publication:2480244
DOI10.1007/s10479-006-0144-2zbMath1132.91456MaRDI QIDQ2480244
Paolo Battocchio, Francesco Menoncin, Olivier Scaillet
Publication date: 31 March 2008
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://archive-ouverte.unige.ch/unige:5805
62P05: Applications of statistics to actuarial sciences and financial mathematics
91B70: Stochastic models in economics
93E20: Optimal stochastic control
91G10: Portfolio theory
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