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

  • 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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    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
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/505554

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    1. Zvi Bodie & Robert C. Merton & William F. Samuelson, 1992. "Labor Supply Flexibility and Portfolio Choice in a Life-Cycle Model," NBER Working Papers 3954, National Bureau of Economic Research, Inc.
    2. Jean-Paul Fitoussi, 1999. "Introduction au dossier sur les retraites : un débat pour progresser," Revue de l'OFCE, Programme National Persée, vol. 68(1), pages 9-14.
    3. Black, Fischer & Perold, AndreF., 1992. "Theory of constant proportion portfolio insurance," Journal of Economic Dynamics and Control, Elsevier, vol. 16(3-4), pages 403-426.
    4. R. C. Merton, 1970. "Optimum Consumption and Portfolio Rules in a Continuous-time Model," Working papers 58, Massachusetts Institute of Technology (MIT), Department of Economics.
    5. Brennan, Michael J. & Schwartz, Eduardo S. & Lagnado, Ronald, 1997. "Strategic asset allocation," Journal of Economic Dynamics and Control, 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, vol. 44(11-Part-2), pages S79-S95, November.
    7. repec:cai:reofsp:reof_p1999_68n1_0009 is not listed on IDEAS
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