Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases
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Publication:2480244
DOI10.1007/s10479-006-0144-2zbMath1132.91456OpenAlexW2113610106MaRDI 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
Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic models in economics (91B70) Optimal stochastic control (93E20) Portfolio theory (91G10)
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