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Income drawdown option with minimum guarantee

Author

Listed:
  • Di Giacinto, Marina
  • Federico, Salvatore
  • Gozzi, Fausto
  • Vigna, Elena

Abstract

This paper deals with a constrained investment problem for a defined contribution (DC) pension fund where retirees are allowed to defer the purchase of the annuity at some future time after retirement.

Suggested Citation

  • Di Giacinto, Marina & Federico, Salvatore & Gozzi, Fausto & Vigna, Elena, 2014. "Income drawdown option with minimum guarantee," European Journal of Operational Research, Elsevier, vol. 234(3), pages 610-624.
  • Handle: RePEc:eee:ejores:v:234:y:2014:i:3:p:610-624
    DOI: 10.1016/j.ejor.2013.10.026
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    References listed on IDEAS

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    Citations

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    Cited by:

    1. Wei-Ting Pan, 2016. "The Impact of Mandatory Savings on Life Cycle Consumption and Portfolio Choice," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 32, June.
    2. Ayşegül İşcanog̃lu-Çekiç, 2016. "An Optimal Turkish Private Pension Plan with a Guarantee Feature," Risks, MDPI, Open Access Journal, vol. 4(3), pages 1-12, June.
    3. Alessandro Milazzo & Elena Vigna, 2018. "The Italian Pension Gap: a Stochastic Optimal Control Approach," Papers 1804.05354, arXiv.org.
    4. Hassan Dadashi, 2018. "Optimal investment-consumption problem post-retirement with a minimum guarantee," Papers 1803.00611, arXiv.org.
    5. Salvatore Federico & Paul Gassiat & Fausto Gozzi, 2015. "Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation," Finance and Stochastics, Springer, vol. 19(2), pages 415-448, April.
    6. Agnieszka Konicz & David Pisinger & Alex Weissensteiner, 2015. "Optimal annuity portfolio under inflation risk," Computational Management Science, Springer, vol. 12(3), pages 461-488, July.

    More about this item

    Keywords

    Pension fund; Decumulation phase; Constrained portfolio; Stochastic optimal control; Dynamic programming; Hamilton–Jacobi–Bellman equation;

    JEL classification:

    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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