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Optimal Asset Allocation for Pension Funds Under Mortality Risk During the Accumulation and Decumulation Phases

Battocchio, Paolo (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001795066

Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases

Battocchio, Paolo; Menoncin, Francesco; Scaillet, Olivier - 2003

Persistent link: https://www.econbiz.de/10001741680

Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases

Battocchio, Paolo (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001743681

Optimal pension management under stochastic interest rates, wages, and inflation

Battocchio, Paolo (contributor); … - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001719335

Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases /Paolo Battocchio, Francesco Menoncin, Olivier Scaillet

Battocchio, Paolo (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001906837

Optimal Asset Allocation for Pension Funds Under Mortality Risk During the Accumulation and Decumulation Phases

Battocchio, Paolo - 2003

In a financial market with one riskless asset and n risky assets following geometric Brownian motions, we solve the problem of a pension fund maximizing the expected CRRA utility of its terminal wealth. By considering a stochastic death time for a subscriber, we solve a unique problem for both...

Persistent link: https://www.econbiz.de/10012740045