Mean-variance portfolio and contribution selection in stochastic pension funding
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Bibliographic InfoArticle provided by Elsevier in its journal European Journal of Operational Research.
Volume (Year): 187 (2008)
Issue (Month): 1 (May)
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- Jesus Marin-Solano & Jorge Navas, 2009.
"Consumption and Portfolio Rules for Time-Inconsistent Investors,"
0901.2484, arXiv.org, revised Mar 2009.
- Marín-Solano, Jesús & Navas, Jorge, 2010. "Consumption and portfolio rules for time-inconsistent investors," European Journal of Operational Research, Elsevier, vol. 201(3), pages 860-872, March.
- Mao, Hong & Carson, James M. & Ostaszewski, Krzysztof M. & Wen, Zhongkai, 2013. "Optimal decision on dynamic insurance price and investment portfolio of an insurer," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 359-369.
- Huang, Jianhui & Wang, Guangchen & Wu, Zhen, 2010. "Optimal premium policy of an insurance firm: Full and partial information," Insurance: Mathematics and Economics, Elsevier, vol. 47(2), pages 208-215, October.
- Elena Vigna, 2010. "On efficiency of mean-variance based portfolio selection in DC pension schemes," Carlo Alberto Notebooks 154, Collegio Carlo Alberto, revised 2011.
- Josa-Fombellida, Ricardo & Rincón-Zapatero, Juan Pablo, 2012. "Stochastic pension funding when the benefit and the risky asset follow jump diffusion processes," European Journal of Operational Research, Elsevier, vol. 220(2), pages 404-413.
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