Management of Portfolio Depletion Risk through Optimal Life Cycle Asset Allocation
From MaRDI portal
Publication:5241945
DOI10.1080/10920277.2019.1570469zbMath1426.91218OpenAlexW2901412332WikidataQ127669436 ScholiaQ127669436MaRDI QIDQ5241945
Graham Westmacott, Peter A. I. Forsyth, Kenneth Vetzal
Publication date: 4 November 2019
Published in: North American Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/10920277.2019.1570469
optimal stochastic controldefined contribution pension plansdefined benefit pension plansoptimal life cycle asset allocationportfolio depletion risk
Related Items (7)
A data-driven neural network approach to optimal asset allocation for target based defined contribution pension plans ⋮ Beating a Benchmark: Dynamic Programming May Not Be the Right Numerical Approach ⋮ Multiperiod Mean Conditional Value at Risk Asset Allocation: Is It Advantageous to Be Time Consistent? ⋮ OPTIMAL ASSET ALLOCATION FOR DC PENSION DECUMULATION WITH A VARIABLE SPENDING RULE ⋮ On the Distribution of Terminal Wealth under Dynamic Mean-Variance Optimal Investment Strategies ⋮ Optimal dynamic asset allocation for DC plan accumulation/decumulation: ambition-CVaR ⋮ Discrete-time mean-CVaR portfolio selection and time-consistency induced term structure of the CVaR
Cites Work
- Correction to “Automatic Block-Length Selection for the Dependent Bootstrap” by D. Politis and H. White
- Better than pre-commitment mean-variance portfolio allocation strategies: a semi-self-financing Hamilton-Jacobi-Bellman equation approach
- Nonparametric tests for pathwise properties of semimartingales
- Optimal life cycle portfolio choice with variable annuities offering liquidity and investment downside protection
- Less is more: increasing retirement gains by using an upside terminal wealth constraint
- Equilibrium investment strategy for defined-contribution pension schemes with generalized mean-variance criterion and mortality risk
- Optimal investment choices post-retirement in a defined contribution pension scheme
- Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans
- Annuitization and asset allocation
- Pensionmetrics 2: Stochastic pension plan design during the distribution phase.
- Continuous-time mean-variance portfolio selection: a stochastic LQ framework
- The annuity puzzle remains a puzzle
- Multi-period mean-variance portfolio optimization based on Monte-Carlo simulation
- Annuitization and asset allocation under exponential utility
- Age-dependent investing: optimal funding and investment strategies in defined contribution pension plans when members are rational life cycle financial planners
- Asset allocation for a DC pension fund with stochastic income and mortality risk: a multi-period mean-variance framework
- Discrete-time mean-CVaR portfolio selection and time-consistency induced term structure of the CVaR
- Mean-variance target-based optimisation for defined contribution pension schemes in a stochastic framework
- Optimal management of DC pension plan in a stochastic interest rate and stochastic volatility framework
- Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
- On efficiency of mean–variance based portfolio selection in defined contribution pension schemes
- ROBUST ASSET ALLOCATION FOR LONG-TERM TARGET-BASED INVESTING
- Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps
- Automatic Block-Length Selection for the Dependent Bootstrap
- The 4% strategy revisited: a pre-commitment mean-variance optimal approach to wealth management
- OPTIMAL INVESTMENT FOR A DEFINED-CONTRIBUTION PENSION SCHEME UNDER A REGIME SWITCHING MODEL
- Around the Life Cycle: Deterministic Consumption-Investment Strategies
- The Management of Decumulation Risks in a Defined Contribution Pension Plan
- Efficient Post-Retirement Asset Allocation
- Dynamic Mean-LPM and Mean-CVaR Portfolio Optimization in Continuous-Time
- Optimal Control of Conditional Value-at-Risk in Continuous Time
- Block bootstrap methods and the choice of stocks for the long run
- Continuous time mean‐variance optimal portfolio allocation under jump diffusion: An numerical impulse control approach
- MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION
- Research and Reality: A Literature Review on Drawing Down Retirement Financial Savings
- IMPLEMENTING INDIVIDUAL SAVINGS DECISIONS FOR RETIREMENT WITH BOUNDS ON WEALTH
This page was built for publication: Management of Portfolio Depletion Risk through Optimal Life Cycle Asset Allocation
