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Mean-variance portfolio and contribution selection in stochastic pension funding

Listed author(s):
  • Josa-Fombellida, Ricardo
  • Rincon-Zapatero, Juan Pablo

No abstract is available for this item.

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File URL: http://www.sciencedirect.com/science/article/pii/S0377-2217(07)00300-1
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Article provided by Elsevier in its journal European Journal of Operational Research.

Volume (Year): 187 (2008)
Issue (Month): 1 (May)
Pages: 120-137

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Handle: RePEc:eee:ejores:v:187:y:2008:i:1:p:120-137
Contact details of provider: Web page: http://www.elsevier.com/locate/eor

References listed on IDEAS
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  1. Cairns, Andrew, 2000. "Some Notes on the Dynamics and Optimal Control of Stochastic Pension Fund Models in Continuous Time," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 30(01), pages 19-55, May.
  2. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, 03.
  3. Constantinides, George M, 1978. "Market Risk Adjustment in Project Valuation," Journal of Finance, American Finance Association, vol. 33(2), pages 603-616, May.
  4. Josa-Fombellida, Ricardo & Rincon-Zapatero, Juan Pablo, 2004. "Optimal risk management in defined benefit stochastic pension funds," Insurance: Mathematics and Economics, Elsevier, vol. 34(3), pages 489-503, June.
  5. Duan Li & Wan-Lung Ng, 2000. "Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation," Mathematical Finance, Wiley Blackwell, vol. 10(3), pages 387-406.
  6. Chang, Shih-Chieh, 1999. "Optimal pension funding through dynamic simulations: the case of Taiwan public employees retirement system," Insurance: Mathematics and Economics, Elsevier, vol. 24(3), pages 187-199, May.
  7. Haberman, Steven & Sung, Joo-Ho, 1994. "Dynamic approaches to pension funding," Insurance: Mathematics and Economics, Elsevier, vol. 15(2-3), pages 151-162, December.
  8. Colombo, Luigi & Haberman, Steven, 2005. "Optimal contributions in a defined benefit pension scheme with stochastic new entrants," Insurance: Mathematics and Economics, Elsevier, vol. 37(2), pages 335-354, October.
  9. Josa-Fombellida, Ricardo & Rincon-Zapatero, Juan Pablo, 2001. "Minimization of risks in pension funding by means of contributions and portfolio selection," Insurance: Mathematics and Economics, Elsevier, vol. 29(1), pages 35-45, August.
  10. Haberman, Steven & Butt, Zoltan & Megaloudi, Chryssoula, 2000. "Contribution and solvency risk in a defined benefit pension scheme," Insurance: Mathematics and Economics, Elsevier, vol. 27(2), pages 237-259, October.
  11. Josa-Fombellida, Ricardo & Rincon-Zapatero, Juan Pablo, 2006. "Optimal investment decisions with a liability: The case of defined benefit pension plans," Insurance: Mathematics and Economics, Elsevier, vol. 39(1), pages 81-98, August.
  12. Chiu, Mei Choi & Li, Duan, 2006. "Asset and liability management under a continuous-time mean-variance optimization framework," Insurance: Mathematics and Economics, Elsevier, vol. 39(3), pages 330-355, December.
  13. Taylor, Greg, 2002. "Stochastic control of funding systems," Insurance: Mathematics and Economics, Elsevier, vol. 30(3), pages 323-350, June.
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