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Optimal design of the guarantee for defined contribution funds

  • Griselda Deelstra
  • Martino Grasselli
  • Pierre-François Koehl
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    No abstract is available for this item.

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    File URL: https://dipot.ulb.ac.be/dspace/bitstream/2013/7602/1/gd-0015.pdf
    File Function: gd-0015
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    Paper provided by ULB -- Universite Libre de Bruxelles in its series ULB Institutional Repository with number 2013/7602.

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    Date of creation: 2004
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    Publication status: Published in: Journal of Economic Dynamics and Control (2004) v.28 n° 11,p.2239-2260
    Handle: RePEc:ulb:ulbeco:2013/7602
    Contact details of provider: Postal: CP135, 50, avenue F.D. Roosevelt, 1050 Bruxelles
    Web page: http://difusion.ulb.ac.be

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    1. Griselda Deelstra & Martino Grasselli & Pierre-François Koehl, 2000. "Optimal investment strategies in a CIR framework," ULB Institutional Repository 2013/7594, ULB -- Universite Libre de Bruxelles.
    2. Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, vol. 5(2), pages 177-188, November.
    3. Holmstrom, Bengt & Milgrom, Paul, 1987. "Aggregation and Linearity in the Provision of Intertemporal Incentives," Econometrica, Econometric Society, vol. 55(2), pages 303-28, March.
    4. Jensen, Bjarne Astrup & Sørensen, Carsten, 2000. "Paying for minimum interest rate guarantees: Who should compensate who?," Working Papers 2000-1, Copenhagen Business School, Department of Finance.
    5. Boulier, Jean-Francois & Huang, ShaoJuan & Taillard, Gregory, 2001. "Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund," Insurance: Mathematics and Economics, Elsevier, vol. 28(2), pages 173-189, April.
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