Long-term real dynamic investment planning

DOI10.1016/J.INSMATHECO.2020.03.002MaRDI QIDQ784398zbMATHOpenAlexFDO

Authors Russell Gerrard, Munir Hiabu, Jens Perch Nielsen, Peter Vodička

Publication date 3 August 2020

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2020.03.002

zbMATH Keywords

econometricsstrategyoptimal investmentlong-term investmentforecasting returnsnonmyopic strategy

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

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Cites work

• scientific article; zbMATH DE number 1869272 (Why is no real title available?)
• A note on the validity of cross-validation for evaluating autoregressive time series prediction
• Affordable and adequate annuities with stable payouts: fantasy or reality?
• Arbitrage Theory in Continuous Time
• Communication and personal selection of pension saver's financial risk
• Consumption and Portfolio Decisions when Expected Returns are Time Varying
• Continuous-time security pricing. A utility gradient approach
• IMPLEMENTING INDIVIDUAL SAVINGS DECISIONS FOR RETIREMENT WITH BOUNDS ON WEALTH
• Modern tontine with bequest: innovation in pooled annuity products
• Nonparametric prediction of stock returns based on yearly data: the long-term view
• Prediction of Stock Returns: A New Way to Look at It
• Return smoothing mechanisms in life and pension insurance: path-dependent contingent claims
• Valuation of an early exercise defined benefit underpin hybrid pension

Cited in

(1)

• On optimal constrained investment strategies for long-term savers in stochastic environments and probability hedging

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