Optimal investment strategies for pension funds with regulation-conform dynamic pension payment management in the absence of guarantees
Year of publication: |
2021
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Authors: | Lichtenstern, Andreas ; Zagst, Rudi |
Published in: |
European Actuarial Journal. - Berlin, Heidelberg : Springer, ISSN 2190-9741. - Vol. 12.2021, 2, p. 647-700
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Publisher: |
Berlin, Heidelberg : Springer |
Subject: | Pension investments | Post-retirement phase | Optimal portfolio | Buffer mechanism | Pension adjustments | HARA utility function | Policy function iteration |
Type of publication: | Article |
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Type of publication (narrower categories): | Article |
Language: | English |
Other identifiers: | 10.1007/s13385-021-00298-7 [DOI] |
Classification: | G11 - Portfolio Choice ; G22 - Insurance; Insurance Companies ; C61 - Optimization Techniques; Programming Models; Dynamic Analysis |
Source: |
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