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Maccheroni, Fabio; Marinacci, Massimo; Rustichini, Aldo - Collegio Carlo Alberto, Università degli Studi di Torino - 2006

We introduce and axiomatize dynamic variational preferences, the dynamic version of the variational preferences we axiomatized in [21], which generalize the multiple priors preferences of Gilboa and Schmeidler [9], and include the Multiplier Preferences inspired by robust control and first used...

Persistent link: https://www.econbiz.de/10005094065

Mean-variance target-based optimisation in DC plan with stochastic interest rate

Menoncin, Francesco; Vigna, Elena - Collegio Carlo Alberto, Università degli Studi di Torino - 2013

We solve a mean-variance optimisation problem of a defined contribution pension scheme in the accumulation phase. The financial market consists of: (i) the risk-free asset, (ii) a risky asset following a GBM, and (iii) a bond driven by a stochastic interest rate following the Vasicek [1977]...

Persistent link: https://www.econbiz.de/10010862060

Mean-variance inefficiency of CRRA and CARA utility functions for portfolio selection in defined contribution pension schemes

Vigna, Elena - Collegio Carlo Alberto, Università degli Studi di Torino - 2009

We consider the portfolio selection problem in the accumulation phase of a defined contribution pension scheme in continuous time, and compare the mean-variance and the expected utility maximization approaches. Using the embedding technique pioneered by Zhou and Li (2000) we first find the...

Persistent link: https://www.econbiz.de/10005015186

On the Computation of Optimal Monotone Mean-Variance Portfolios via Truncated Quadratic Utility

Cerný, Ales; Maccheroni, Fabio; Marinacci, Massimo; … - Collegio Carlo Alberto, Università degli Studi di Torino - 2008

We report a surprising link between optimal portfolios generated by a special type of variational preferences called divergence preferences (cf. [8]) and optimal portfolios generated by classical expected utility. As a special case we connect optimization of truncated quadratic utility (cf. [2])...

Persistent link: https://www.econbiz.de/10005405555

On efficiency of mean-variance based portfolio selection in DC pension schemes

Vigna, Elena - Collegio Carlo Alberto, Università degli Studi di Torino - 2010

We consider the portfolio selection problem in the accumulation phase of a defined contribution (DC) pension scheme. We solve the mean-variance portfolio selection problem using the embedding technique pioneered by Zhou and Li (2000) and show that it is equivalent to a target-based optimization...

Persistent link: https://www.econbiz.de/10008682809

Ambiguity in Asset Markets: Theory and Experiment

Bossaerts, Peter; Ghirardato, Paolo; Guarnaschelli, Serena - Collegio Carlo Alberto, Università degli Studi di Torino - 2006

This paper studies the impact of ambiguity and ambiguity aversion on equilibrium asset prices and portfolio holdings in … competitive financial markets. It argues that attitudes toward ambiguity are heterogeneous across the population, just as … attitudes toward risk are heterogeneous across the population, but that heterogeneity of attitudes toward ambiguity has …

Persistent link: https://www.econbiz.de/10005635436

Choosing the Optimal Annuitization Time Post Retirement

Gerrard, Russell; Højgaard, Bjarne; Vigna, Elena - Collegio Carlo Alberto, Università degli Studi di Torino - 2008

In the context of decision making for retirees of a defined contribution pension scheme in the de-cumulation phase, we formulate and solve a problem of finding the optimal time of annuitization for a retiree having the possibility of choosing her own investment and consumption strategy. We...

Persistent link: https://www.econbiz.de/10005094050

Income drawdown option with minimum guarantee

Giacinto, Marina Di; Federico, Salvatore; Gozzi, Fausto; … - Collegio Carlo Alberto, Università degli Studi di Torino - 2012

This paper deals with a constrained investment problem for a defined contribution (DC) pension fund where retirees are allowed to defer the purchase of the annuity at some future time after retirement. This problem has already been treated in the unconstrained case in a number of papers. The aim...

Persistent link: https://www.econbiz.de/10010615365

Constrained portfolio choices in the decumulation phase of a pension plan

Giacinto, Marina Di; Federico, Salvatore; Gozzi, Fausto; … - Collegio Carlo Alberto, Università degli Studi di Torino - 2010

Persistent link: https://www.econbiz.de/10008682808

Portfolio Selection with Monotone Mean-Variance Preferences

Maccheroni, Fabio; Marinacci, Massimo; Rustichini, Aldo; … - Collegio Carlo Alberto, Università degli Studi di Torino - 2004

We propose a portfolio selection model based on a class of monotone preferences that coincide with mean-variance preferences on their domain of monotonicity, but differ where mean-variance preferences fail to be monotone and are therefore not economically meaningful. The functional associated to...

Persistent link: https://www.econbiz.de/10005094046