Dynamic asset allocation for target date funds under the benchmark approach

DOI10.1017/ASB.2021.6MaRDI QIDQ5152545zbMATH OpenOpenAlexFDO

Authors Jin Sun, Dan Zhu, Eckhard Platen

Publication date 24 September 2021

Published in ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/asb.2021.6

zbMATH Keywords

benchmark approachdynamic asset allocationoptimal glide pathtarget date funds

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Portfolio theory (91G10)

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Cites work

• A benchmark approach to quantitative finance
• A variational problem arising in financial economics
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Continuous-time security pricing. A utility gradient approach
• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• scientific article; zbMATH DE number 1245556 (Why is no real title available?)
• Local martingales, arbitrage, and viability. Free snacks and cheap thrills
• No arbitrage of the first kind and local martingale numéraires
• On the construction of optimal payoffs
• On the Distributional Characterization of Daily Log‐Returns of a World Stock Index

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