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Optimal portfolio and background risk: an exact and an approximated solution

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Author Info
Menoncin, Francesco

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

Volume (Year): 31 (2002)
Issue (Month): 2 (October)
Pages: 249-265
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Handle: RePEc:eee:insuma:v:31:y:2002:i:2:p:249-265

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  1. Francesco, MENONCIN, 2003. "Optimal Real Consumption and Asset Allocation for a HARA Investor with Labour Income," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 2003015, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES). [Downloadable!]
  2. Francesco Menoncin, 2005. "Risk management and asset allocation with jump-diffusion exogenous risks: Some algebraic approximated solutions," European Journal of Finance, Taylor and Francis Journals, vol. 11(3), pages 223-246, June. [Downloadable!] (restricted)
  3. Paolo BATTOCCHIO, 2002. "Optimal Portfolio Strategies with Stochastic Wage Income : The Case of A defined Contribution Pension Plan," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 2002005, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES). [Downloadable!]
  4. Francesco, MENONCIN, 2002. "Investment Strategies in Incomplete Markets : Sufficient Conditions for a Closed Form Solution," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 2002033, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES). [Downloadable!]
  5. Paolo BATTOCCHIO & Francesco MENONCIN, 2002. "Optimal Pension Management under Stochastic Interest Rates, Wages, and Inflation," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 2002021, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES). [Downloadable!]
  6. Francesco Menoncin, 2005. "Cyclical risk exposure of pension funds: a theoretical framework," Working Papers ubs0503, University of Brescia, Department of Economics. [Downloadable!]
    Other versions:
  7. Francesco Menoncin, 2006. "The role of longevity bonds in optimal portfolios," Working Papers 0601, University of Brescia, Department of Economics. [Downloadable!]
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  8. Francesco, MENONCIN, 2002. "Investment Strategies for HARA Utility Function : A General Algebraic Approximated Solution," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 2002034, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES). [Downloadable!]
  9. Francesco Menoncin, . "Risk management for an internationally diversified portfolio," Working Papers ubs0404, University of Brescia, Department of Economics. [Downloadable!]
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  10. Paolo Battocchio & Francesco Menoncin & Olivier Scaillet, 2003. "Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases," THEMA Working Papers 2003-28, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise. [Downloadable!]
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  11. Francesco MENONCIN, 2002. "How the Financial ManagersÕ Remuneration Can Affect the Optimal Portfolio Composition ?," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 2002022, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES). [Downloadable!]
  12. Katarzyna Romaniuk, 2007. "The optimal asset allocation of the main types of pension funds: a unified framework," The Geneva Papers on Risk and Insurance Theory, Springer, vol. 32(2), pages 113-128, December. [Downloadable!] (restricted)
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