Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund-Reference-Cited by-同舟云学术

Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund

Published:2001-04 Issue:2 Volume:28 Page:173-189
ISSN:0167-6687
Container-title:Insurance: Mathematics and Economics
language:en
Short-container-title:Insurance: Mathematics and Economics

Author:

Boulier Jean-François,Huang ShaoJuan,Taillard Grégory

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Reference26 articles.

1. Bajeux-Besnainou, I., Portait, R., 1998. Dynamic asset allocation in a mean-variance framework. Management Science.

2. Bajeux-Besnainou, I., Portait, R., 1999. L’allocation stratégique d’actifs: l’apport de nouveaux modèles d’optimisation de portfeuilles. ESSEC Working Paper.

3. Risk-sensitive dynamic asset allocation;Bielecki;Asset and Liability Management,1998

4. Theory of constant proportion portfolio insurance;Black;Journal of Economic Dynamics and Control,1992

5. The design and production of new retirement savings products;Bodie;The Journal of Portfolio Management,1999

Cited by 179 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Optimal Investment Strategy for DC Pension Plan with Stochastic Salary and Value at Risk Constraint in Stochastic Volatility Model;Axioms;2024-08-10

2. Money illusion in retirement savings with a minimum guarantee;Scandinavian Actuarial Journal;2024-07-30

3. Should the Occupational Pension Plans’ Investment be Long-Term or Short-Term? Evidence from China;Computational Economics;2024-07-16

4. Optimal additional voluntary contribution in DC pension schemes to manage inadequacy risk;Decisions in Economics and Finance;2024-05-10

5. Benchmark-driven investment for DC pension plans;Journal of Pension Economics and Finance;2024-02-28