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

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  • Boulier, Jean-Francois
  • Huang, ShaoJuan
  • Taillard, Gregory
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    File URL: http://www.sciencedirect.com/science/article/B6V8N-4314072-3/2/46cd9c4261f1577d9b026f8ee6c4d314
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    Bibliographic Info

    Article provided by Elsevier in its journal Insurance: Mathematics and Economics.

    Volume (Year): 28 (2001)
    Issue (Month): 2 (April)
    Pages: 173-189

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    Handle: RePEc:eee:insuma:v:28:y:2001:i:2:p:173-189

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    Web page: http://www.elsevier.com/locate/inca/505554

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    1. Jean-Paul Fitoussi, 1999. "Introduction au dossier sur les retraites : un débat pour progresser," Revue de l'OFCE, Presses de Sciences-Po, Presses de Sciences-Po, vol. 0(1), pages 9-14.
    2. R. C. Merton, 1970. "Optimum Consumption and Portfolio Rules in a Continuous-time Model," Working papers, Massachusetts Institute of Technology (MIT), Department of Economics 58, Massachusetts Institute of Technology (MIT), Department of Economics.
    3. Black, Fischer & Perold, AndreF., 1992. "Theory of constant proportion portfolio insurance," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 16(3-4), pages 403-426.
    4. Bodie, Zvi & Merton, Robert C. & Samuelson, William F., 1992. "Labor supply flexibility and portfolio choice in a life cycle model," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 16(3-4), pages 427-449.
    5. Brennan, Michael J. & Schwartz, Eduardo S. & Lagnado, Ronald, 1997. "Strategic asset allocation," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 21(8-9), pages 1377-1403, June.
    6. Isabelle Bajeux-Besnainou & Roland Portait, 1998. "Dynamic Asset Allocation in a Mean-Variance Framework," Management Science, INFORMS, INFORMS, vol. 44(11-Part-2), pages S79-S95, November.
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