Less is more: increasing retirement gains by using an upside terminal wealth constraint
DOI10.1016/J.INSMATHECO.2015.06.003zbMATH Open1348.91251OpenAlexW2291009425MaRDI QIDQ495482FDOQ495482
Authors: Catherine Donnelly, Russell Gerrard, Jens Perch Nielsen, Montserrat Guillen 
Publication date: 14 September 2015
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: http://openaccess.city.ac.uk/id/eprint/12177/1/main.pdf
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Cites Work
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- BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME
- Performance measurement of pension strategies: a case study of Danish life-cycle products
- Continuous-time portfolio optimization under terminal wealth constraints
- Reaching goals by a deadline: digital options and continuous-time active portfolio management
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- Preferred by ``all and preferred by ``most decision makers: almost stochastic dominance
- Risk aversion or myopia? Choices in repeated gambles and retirement investments
- Optimal consumption and equilibrium prices with portfolio constraints and stochastic income
- Utility Maximization Under Bounded Expected Loss
- Portfolio insurance under a risk-measure constraint
- Optimal portfolio selection for general provisioning and terminal wealth problems
Cited In (8)
- A data-driven neural network approach to optimal asset allocation for target based defined contribution pension plans
- Portfolio optimization: not necessarily concave utility and constraints on wealth and allocation
- IMPLEMENTING INDIVIDUAL SAVINGS DECISIONS FOR RETIREMENT WITH BOUNDS ON WEALTH
- The effect of objective formulation on retirement decision making
- More for less insurance model: an alternative to (re)insurance
- Expected utility approximation and portfolio optimisation
- Management of portfolio depletion risk through optimal life cycle asset allocation
- Multiperiod mean conditional value at risk asset allocation: is it advantageous to be time consistent?
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