Optimal dynamic asset allocation for DC plan accumulation/decumulation: ambition-CVaR
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Publication:784441
DOI10.1016/J.INSMATHECO.2020.05.005zbMATH Open1447.91137OpenAlexW3005026076MaRDI QIDQ784441FDOQ784441
Authors: P. A. Forsyth 
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.2020.05.005
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Cites Work
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- Multiperiod mean conditional value at risk asset allocation: is it advantageous to be time consistent?
- Management of portfolio depletion risk through optimal life cycle asset allocation
- Optimal Asset Allocation for Retirement Saving: Deterministic Vs. Time Consistent Adaptive Strategies
- Research and Reality: A Literature Review on Drawing Down Retirement Financial Savings
Cited In (9)
- Neural network approach to portfolio optimization with leverage constraints: a case study on high inflation investment
- Two stage decumulation strategies for dc plan investors
- Pensionmetrics: Stochastic pension plan design and value-at-risk during the accumulation phase
- A stochastic control approach to defined contribution plan decumulation: \textit{``The nastiest, hardest problem in finance}
- Short term decumulation strategies for underspending retirees
- Optimal performance of a tontine overlay subject to withdrawal constraints
- Multi-Period Mean Expected-Shortfall Strategies: ‘Cut Your Losses and Ride Your Gains’
- Optimal asset allocation for DC pension decumulation with a variable spending rule
- Optimal control of the decumulation of a retirement portfolio with variable spending and dynamic asset allocation
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