Optimal dynamic asset allocation for DC plan accumulation/decumulation: ambition-CVaR
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Recommendations
- Optimal asset allocation for a DC plan with partial information under inflation and mortality risks
- Dynamic asset allocation in a mean-variance framework
- Optimal asset allocation for DC pension decumulation with a variable spending rule
- Dynamic asset allocation with mean variance preferences and a solvency constraint
- scientific article; zbMATH DE number 5305361
- Multi-period asset allocation by stochastic dynamic programming
- Time consistent mean-variance asset allocation for a DC plan with regime switching under a jump-diffusion model
- Dynamic asset allocation under VaR constraint with stochastic interest rates
- Optimal Asset Allocation with Asymptotic Criteria
- Optimal control of the decumulation of a retirement portfolio with variable spending and dynamic asset allocation
Cites work
- A data-driven neural network approach to optimal asset allocation for target based defined contribution pension plans
- A jump-diffusion model for option pricing
- Age-dependent investing: optimal funding and investment strategies in defined contribution pension plans when members are rational life cycle financial planners
- An optimal stochastic control framework for determining the cost of hedging of variable annuities
- Automatic Block-Length Selection for the Dependent Bootstrap
- Better than pre-commitment mean-variance portfolio allocation strategies: a semi-self-financing Hamilton-Jacobi-Bellman equation approach
- Convergence of the embedded mean-variance optimal points with discrete sampling
- Correction to “Automatic Block-Length Selection for the Dependent Bootstrap” by D. Politis and H. White
- De-risking defined benefit plans
- 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?
- Non-parametric threshold estimation for models with stochastic diffusion coefficient and jumps
- Nonparametric tests for pathwise properties of semimartingales
- Numerical solution of two asset jump diffusion models for option valuation
- On efficiency of mean-variance based portfolio selection in defined contribution pension schemes
- Optimal Asset Allocation for Retirement Saving: Deterministic Vs. Time Consistent Adaptive Strategies
- Optimal life cycle portfolio choice with variable annuities offering liquidity and investment downside protection
- Optimal retirement income tontines
- Quantitative modeling of risk management strategies: stochastic reserving and hedging of variable annuity guaranteed benefits
- Research and Reality: A Literature Review on Drawing Down Retirement Financial Savings
- Robust asset allocation for long-term target-based investing
- The Stationary Bootstrap
- The annuity puzzle remains a puzzle
- Time-consistent mean-variance portfolio optimization: a numerical impulse control approach
Cited in
(9)- Optimal control of the decumulation of a retirement portfolio with variable spending and dynamic asset allocation
- Neural network approach to portfolio optimization with leverage constraints: a case study on high inflation investment
- Short term decumulation strategies for underspending retirees
- Pensionmetrics: Stochastic pension plan design and value-at-risk during the accumulation phase
- Optimal performance of a tontine overlay subject to withdrawal constraints
- Multi-Period Mean Expected-Shortfall Strategies: ‘Cut Your Losses and Ride Your Gains’
- Two stage decumulation strategies for dc plan investors
- A stochastic control approach to defined contribution plan decumulation: \textit{``The nastiest, hardest problem in finance}
- Optimal asset allocation for DC pension decumulation with a variable spending rule
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