Dynamic preferences for popular investment strategies in pension funds

DOI10.1080/03461238.2014.954606zbMath1401.91101OpenAlexW2052424671MaRDI QIDQ4576975

Carole Bernard, Minsuk Kwak

Publication date: 11 July 2018

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.2014.954606

zbMATH Keywords

HARA utilitySAHARA utilityforward utilityCPPI strategylife-cycle fund

Mathematics Subject Classification ID

Related Items (7)

Forward rank‐dependent performance criteria: Time‐consistent investment under probability distortion ⋮ Optimal investment in defined contribution pension schemes with forward utility preferences ⋮ Optimal investment and consumption when allowing terminal debt ⋮ PORTFOLIO INSURANCE STRATEGIES FOR A TARGET ANNUITIZATION FUND ⋮ Pricing and hedging equity-linked life insurance contracts beyond the classical paradigm: the principle of equivalent forward preferences ⋮ Evolution of the Arrow-Pratt measure of risk-tolerance for predictable forward utility processes ⋮ Around the Life Cycle: Deterministic Consumption-Investment Strategies

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
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• Modeling non-monotone risk aversion using SAHARA utility functions
• Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans
• Theory of constant proportion portfolio insurance
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• Best portfolio insurance for long-term investment strategies in realistic conditions
• Optimal design of equity-linked products with a probabilistic constraint
• INITIAL INVESTMENT CHOICE AND OPTIMAL FUTURE ALLOCATIONS UNDER TIME-MONOTONE PERFORMANCE CRITERIA
• Portfolio Optimization and Performance Analysis
• Portfolio Choice under Space-Time Monotone Performance Criteria
• Portfolio choice under dynamic investment performance criteria

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