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Pension funds with a minimum guarantee : a stochastic control approach

Di Giacinto, Marina; Federico, Salvatore; Gozzi, Fausto - In: Finance and stochastics 15 (2011) 2, pp. 297-342

Persistent link: https://www.econbiz.de/10009159089

On loss-avoiding lump-sum pension optimization with contingent targets

Azzato, Jeffrey; Krawczyk, Jacek B.; Sissons, Christopher - 2011

Consider a lump-sum pension fund problem, in which an agent deposits an amount with a fund manager up front and is later repaid a lump sum x(T) after time T. The fund manager may be both cautious in seeking a payoff x(T) meeting a certain target, but relaxed toward the possibility of exceeding...

Persistent link: https://www.econbiz.de/10009272452

Optimal dividend-financing strategies in a dual risk model with time-inconsistent preferences

Chen, Shumin; Wang, Xi; Deng, Yinglu; Zeng, Yan - In: Insurance / Mathematics & economics 67 (2016), pp. 27-37

Persistent link: https://www.econbiz.de/10011457145

The Influence of Discounting Ecosystem Services in Robust Multi-Objective Optimization – an Application to a Forestry-Avocado Land-Use Portfolio

Jarisch, Isabelle; Bödeker, Kai; Bingham, Logan Robert; … - 2022

Discounting is standard in economics to consider time preferences of people and account for future market changes …. However, so far discounting has mainly been applied to monetary flows and ignored for many ecosystem services. In multi …-objective optimization, selectively disregarding time preference for some non-monetary services create bias. Here we study how discounting a …

Persistent link: https://www.econbiz.de/10013301467

Modeling a dynamic portfolio for pension plans in emerging markets with myopic and nonmyopic behavior

Pimentel, Livia F.; Santiago, Leonardo P. - In: Emerging markets finance & trade : a journal of the … 51 (2015), pp. 14-26

Persistent link: https://www.econbiz.de/10011561376

A stochastic programming model for asset liability management for pension funds

Kouwenberg, Roy - 1998

Persistent link: https://www.econbiz.de/10000988088

Asset liability management using stochastic programming

Pribhai, Mehndi; Mitra, Gautam; Kyriakis, Triphonas - In: Asset and liability management tools, (pp. 295-308). 2003

Persistent link: https://www.econbiz.de/10002169392

Liability-Driven Investment for Pension Funds : Stochastic Optimization with Real Assets

Jang, Chul; Clare, Andrew D.; Owadally, Iqbal - 2021

Using a multi-stage stochastic programming method, we suggest an optimal liability-driven investment(LDI) strategy for a closed defined-benefit pension fund including real assets. The objective is to jointly optimize contribution, funding ratio, and buyout cost, subject to a constraint on...

Persistent link: https://www.econbiz.de/10013231480

Investment policies for defined-contribution pension funds

Müller, Heinz H.; Baumann, Roger T. - 2008

Persistent link: https://www.econbiz.de/10003905955

Mean-variance portfolio optimization problem with fixed salary and inflation protection for a defined contribution pension scheme

Nkeki, Charles I.; Nwozo, Chukwuma R. - In: Journal of statistical and econometric methods 2 (2013) 2, pp. 157-173

Persistent link: https://www.econbiz.de/10009769892