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Optimal investment strategies in a CIR framework

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  1. Ryle S. Perera & Kimitoshi Sato, 2018. "Optimal asset allocation for a bank under risk control," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 5(03), pages 1-27, September.
  2. Francesco, MENONCIN, 2003. "Optimal Real Consumption and Asset Allocation for a HARA Investor with Labour Income," LIDAM Discussion Papers IRES 2003015, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
  3. Menoncin, Francesco, 2002. "Optimal portfolio and background risk: an exact and an approximated solution," Insurance: Mathematics and Economics, Elsevier, vol. 31(2), pages 249-265, October.
  4. Paolo BATTOCCHIO & Francesco MENONCIN, 2002. "Optimal Pension Management under Stochastic Interest Rates, Wages, and Inflation," LIDAM Discussion Papers IRES 2002021, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
  5. Blake, David & Cairns, Andrew J. G. & Dowd, Kevin, 2001. "Pensionmetrics: stochastic pension plan design and value-at-risk during the accumulation phase," Insurance: Mathematics and Economics, Elsevier, vol. 29(2), pages 187-215, October.
  6. Francesco Menoncin, 2005. "Risk management and asset allocation with jump-diffusion exogenous risks: Some algebraic approximated solutions," The European Journal of Finance, Taylor & Francis Journals, vol. 11(3), pages 223-246.
  7. Francesco, MENONCIN, 2002. "Investment Strategies in Incomplete Markets : Sufficient Conditions for a Closed Form Solution," LIDAM Discussion Papers IRES 2002033, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
  8. René Ferland & François Watier, 2010. "Mean–variance efficiency with extended CIR interest rates," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 26(1), pages 71-84, January.
  9. Francesco Menoncin & Olivier Scaillet, 2003. "Mortality Risk and Real Optimal Asset Allocation for Pension Funds," FAME Research Paper Series rp101, International Center for Financial Asset Management and Engineering.
  10. Griselda Deelstra & Martino Grasselli & Pierre-François Koehl, 2003. "Optimal investment strategies in the presence of a minimum guarantee," ULB Institutional Repository 2013/7598, ULB -- Universite Libre de Bruxelles.
  11. Deelstra, Griselda & Grasselli, Martino & Koehl, Pierre-Francois, 2003. "Optimal investment strategies in the presence of a minimum guarantee," Insurance: Mathematics and Economics, Elsevier, vol. 33(1), pages 189-207, August.
  12. Chang, Hao, 2015. "Dynamic mean–variance portfolio selection with liability and stochastic interest rate," Economic Modelling, Elsevier, vol. 51(C), pages 172-182.
  13. Cairns, Andrew J.G. & Blake, David & Dowd, Kevin, 2006. "Stochastic lifestyling: Optimal dynamic asset allocation for defined contribution pension plans," Journal of Economic Dynamics and Control, Elsevier, vol. 30(5), pages 843-877, May.
  14. Munk, Claus, 2008. "Portfolio and consumption choice with stochastic investment opportunities and habit formation in preferences," Journal of Economic Dynamics and Control, Elsevier, vol. 32(11), pages 3560-3589, November.
  15. Grasselli, Martino, 2003. "A stability result for the HARA class with stochastic interest rates," Insurance: Mathematics and Economics, Elsevier, vol. 33(3), pages 611-627, December.
  16. Martino Grasselli, 2005. "Notes and Comments: Sup-convolutions of HARA utilities in the affine term structure," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 28(1), pages 67-78, June.
  17. Deelstra, Griselda & Grasselli, Martino & Koehl, Pierre-Francois, 2004. "Optimal design of the guarantee for defined contribution funds," Journal of Economic Dynamics and Control, Elsevier, vol. 28(11), pages 2239-2260, October.
  18. Menoncin, Francesco, 2008. "The role of longevity bonds in optimal portfolios," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 343-358, February.
  19. Jér^me Detemple & Marcel Rindisbacher, 2005. "Closed‐Form Solutions For Optimal Portfolio Selection With Stochastic Interest Rate And Investment Constraints," Mathematical Finance, Wiley Blackwell, vol. 15(4), pages 539-568, October.
  20. Griselda Deelstra & Martino Grasselli & Pierre-François Koehl, 2004. "Optimal design of the guarantee for defined contribution funds," ULB Institutional Repository 2013/7602, ULB -- Universite Libre de Bruxelles.
  21. Zhang, Aihua & Korn, Ralf & Ewald, Christian-Oliver, 2007. "Optimal management and inflation protection for defined contribution pension plans," MPRA Paper 3300, University Library of Munich, Germany.
  22. Francesco, MENONCIN, 2002. "Investment Strategies for HARA Utility Function : A General Algebraic Approximated Solution," LIDAM Discussion Papers IRES 2002034, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
  23. Lim, Andrew E.B. & Wong, Bernard, 2010. "A benchmarking approach to optimal asset allocation for insurers and pension funds," Insurance: Mathematics and Economics, Elsevier, vol. 46(2), pages 317-327, April.
  24. de Kort, J. & Vellekoop, M.H., 2017. "Existence of optimal consumption strategies in markets with longevity risk," Insurance: Mathematics and Economics, Elsevier, vol. 72(C), pages 107-121.
  25. Paolo BATTOCCHIO, 2002. "Optimal Portfolio Strategies with Stochastic Wage Income : The Case of A defined Contribution Pension Plan," LIDAM Discussion Papers IRES 2002005, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
  26. Munk, Claus & Sørensen, Carsten, 2010. "Dynamic asset allocation with stochastic income and interest rates," Journal of Financial Economics, Elsevier, vol. 96(3), pages 433-462, June.
  27. Charles I. Nkeki, 2017. "Optimal Investment And Optimal Additional Voluntary Contribution Rate Of A Dc Pension Fund In A Jump-Diffusion Environment," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 12(04), pages 1-26, December.
  28. Devolder, Pierre & Bosch Princep, Manuela & Dominguez Fabian, Inmaculada, 2003. "Stochastic optimal control of annuity contracts," Insurance: Mathematics and Economics, Elsevier, vol. 33(2), pages 227-238, October.
  29. Szymon Peszat & Dariusz Zawisza, 2020. "The investor problem based on the HJM model," Papers 2010.13915, arXiv.org, revised Dec 2021.
  30. Mei-Ling Tang & Ting-Pin Wu & Ming-Chin Hung, 2022. "Optimal Pension Fund Management with Foreign Investment in a Stochastic Environment," Mathematics, MDPI, vol. 10(14), pages 1-21, July.
  31. Tang, Mei-Ling & Chen, Son-Nan & Lai, Gene C. & Wu, Ting-Pin, 2018. "Asset allocation for a DC pension fund under stochastic interest rates and inflation-protected guarantee," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 87-104.
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