Mean-variance target-based optimisation in DC plan with stochastic interest rate
Year of publication: |
2013
|
---|---|
Authors: | Menoncin, Francesco ; Vigna, Elena |
Institutions: | Collegio Carlo Alberto, Università degli Studi di Torino |
Subject: | Mean-variance approach | efficient frontier | stochastic interest rate | defined contribution pension scheme | portfolio selection | risk aversion | ruin probability |
Extent: | application/pdf |
---|---|
Series: | |
Type of publication: | Book / Working Paper |
Notes: | Number 337 32 pages |
Classification: | C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; D81 - Criteria for Decision-Making under Risk and Uncertainty ; D90 - Intertemporal Choice and Growth. General ; G11 - Portfolio Choice ; G22 - Insurance; Insurance Companies |
Source: |
-
On efficiency of mean-variance based portfolio selection in DC pension schemes
Vigna, Elena, (2010)
-
Vigna, Elena, (2009)
-
Vigna, Elena, (2009)
- More ...
-
Constrained portfolio choices in the decumulation phase of a pension plan
Giacinto, Marina Di, (2010)
-
On efficiency of mean-variance based portfolio selection in DC pension schemes
Vigna, Elena, (2010)
-
Income drawdown option with minimum guarantee
Giacinto, Marina Di, (2012)
- More ...