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The optimal asset allocation of the main types of pension funds: a unified framework

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  • Katarzyna Romaniuk

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Abstract

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Suggested Citation

  • 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;International Association for the Study of Insurance Economics (The Geneva Association), vol. 32(2), pages 113-128, December.
  • Handle: RePEc:kap:geneva:v:32:y:2007:i:2:p:113-128
    DOI: 10.1007/s10713-007-0005-1
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    File URL: http://hdl.handle.net/10.1007/s10713-007-0005-1
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    Citations

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    Cited by:

    1. Romaniuk, Katarzyna & Vranceanu, Radu, 2008. "Asset Prices and Assymetries in the Fed's Interest Rate Rule : a Financial Approach," ESSEC Working Papers DR 08006, ESSEC Research Center, ESSEC Business School.
    2. Katarzyna Romaniuk, 2013. "Pension fund taxation and risk-taking: should we switch from the EET to the TEE regime?," Annals of Finance, Springer, vol. 9(4), pages 573-588, November.

    More about this item

    Keywords

    Pension funds; Defined benefit; Defined contribution; Asset allocation; Internal and external guarantees; Stochastic dynamic programming; Options theory; G23; G11; C61;

    JEL classification:

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

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