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Portfolio management for pension funds

Arbeleche, S.; Dempster, Michael A. H.; Medova, E. A.; … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001776995

Dynamic portfolio replication using stochastic programming

Dempster, Michael A. H.; Thompson, G. W. P. - In: Risk management : value at risk and beyond, (pp. 100-128). 2002

Persistent link: https://www.econbiz.de/10001689194

Growing wealth with fixed-mix strategies

Dempster, Michael A. H.; Evstigneev, Igor V.; … - 2009

This chapter surveys theoretical research on the long-term performance of fixed-mix investment strategies. These self-financing strategies rebalance the portfolio over time so as to keep constant the proportions of wealth invested in various assets. The main result is that wealth can be grown...

Persistent link: https://www.econbiz.de/10003971114

Volatility-induced financial growth

Dempster, Michael A. H.; Evstigneev, Igor V.; … - In: Quantitative fund management, (pp. 67-84). 2009

Persistent link: https://www.econbiz.de/10003796944

DC pension fund benchmarking with fixed-mix portfolio optimization

Dempster, Michael A. H.; Germano, M.; Medova, E. A.; … - In: Quantitative fund management, (pp. 247-258). 2009

Persistent link: https://www.econbiz.de/10003796960

Stuctured products for pension funds

Dempster, Michael A. H.; Germano, M.; Medova, E. A.; … - In: Dynamic stochastic optimization : [this volume includes …, (pp. 115-130). 2004

Persistent link: https://www.econbiz.de/10003487978

Empirical copulas for CDO tranche priding using relaltive entropy

Dempster, Michael A. H. (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003442804

Empirical copulas for CDO trance pricing using relative entropy

Dempster, Michael A. H.; Medova, Elena A.; Yang, Seung W. - In: International journal of theoretical and applied finance 10 (2007) 4, pp. 679-701

Persistent link: https://www.econbiz.de/10003503370

Lifecycle goal achievement or portfolio volatility reduction?

Dempster, Michael A. H.; Kloppers, Dwayne; Medova, Elena A. - In: The journal of portfolio management : a publication of … 42 (2016) 2, pp. 99-117

Persistent link: https://www.econbiz.de/10011685349

Exponential growth of fixed-mix strategies in stationary asset markets

Dempster, Michael A. H. (contributor); … - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001736256