Constrained portfolio choices in the decumulation phase of a pension plan
Download full text from publisher
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Elena Vigna, 2009. "Mean-variance inefficiency of CRRA and CARA utility functions for portfolio selection in defined contribution pension schemes," CeRP Working Papers 89, Center for Research on Pensions and Welfare Policies, Turin (Italy).
- Elena Vigna, 2010. "On efficiency of mean-variance based portfolio selection in DC pension schemes," Carlo Alberto Notebooks 154, Collegio Carlo Alberto, revised 2011.
- 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.
- Elena Vigna, 2009. "Mean-variance inefficiency of CRRA and CARA utility functions for portfolio selection in defined contribution pension schemes," Carlo Alberto Notebooks 108, Collegio Carlo Alberto, revised 2009.
- Hassan Dadashi, 2018. "Optimal investment-consumption problem post-retirement with a minimum guarantee," Papers 1803.00611, arXiv.org.
- 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.
- Salvatore Federico & Paul Gassiat & Fausto Gozzi, 2013. "Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation," Papers 1301.0280, arXiv.org, revised Feb 2015.
More about this item
Keywordspension fund; decumulation phase; constrained portfolio; stochastic optimal control; dynamic programming; Hamilton-Jacobi-Bellman equation;
- 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
NEP fieldsThis paper has been announced in the following NEP Reports:
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cca:wpaper:155. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Giovanni Bert). General contact details of provider: http://edirc.repec.org/data/fccaait.html .
We have no references for this item. You can help adding them by using this form .