Mean-variance inefficiency of CRRA and CARA utility functions for portfolio selection in defined contribution pension schemes
Year of publication: |
2009
|
---|---|
Authors: | Vigna, Elena |
Institutions: | Collegio Carlo Alberto, Università degli Studi di Torino |
Subject: | Mean-variance approach | efficient frontier | expected utility maximization | defined contribution pension scheme | portfolio selection | risk aversion | Sharpe ratio |
Extent: | application/pdf |
---|---|
Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Number 108 35 pages |
Classification: | C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; D81 - Criteria for Decision-Making under Risk and Uncertainty ; G11 - Portfolio Choice ; G23 - Pension Funds; Other Private Financial Institutions |
Source: |
-
Vigna, Elena, (2009)
-
On efficiency of mean-variance based portfolio selection in DC pension schemes
Vigna, Elena, (2010)
-
Mean-variance target-based optimisation in DC plan with stochastic interest rate
Menoncin, Francesco, (2013)
- More ...
-
Mean-variance target-based optimisation in DC plan with stochastic interest rate
Menoncin, Francesco, (2013)
-
Single and cross-generation natural hedging of longevity and financial risk
Luciano, Elisa, (2012)
-
Evolution of coupled lives' dependency across generations and pricing impact
Luciano, Elisa, (2012)
- More ...