Optimal annuity portfolio under inflation risk-Reference-Cited by-同舟云学术

Optimal annuity portfolio under inflation risk

Published:2015-05-03 Issue:3 Volume:12 Page:461-488
ISSN:1619-697X
Container-title:Computational Management Science
language:en
Short-container-title:Comput Manag Sci

Author:

Konicz Agnieszka Karolina^ORCID,Pisinger David,Weissensteiner Alex

Publisher

Springer Science and Business Media LLC

Subject

Information Systems,Management Information Systems

Link

http://link.springer.com/content/pdf/10.1007/s10287-015-0234-1.pdf

Reference53 articles.

1. Attié AP, Roache SK (2009) Inflation hedging for long term investors. Technical report. International Monetary Fund

2. Barberis NC (2000) Investing for the long run when returns are predictable. J Financ 55:225–264

3. Birge JR, Louveaux F (1997) Introduction to stochastic programming. Corrected edn. Springer series in operations research and financial engineering. Springer

4. Blake D, Wright D, Zhang Y (2013) Target-driven investing: optimal investment strategies in defined contribution pension plans under loss aversion. J Econ Dyn Control 37(1):195–209

5. Brennan M, Xia Y (2002) Dynamic asset allocation under inflation. J Financ 57(3):1201–1238

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