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Life-cycle asset allocation with annuity markets

Horneff, Wolfram J.; Maurer, Raimond; Stamos, Michael Zisis - In: Journal of economic dynamics & control 32 (2008) 11, pp. 3590-3612

Persistent link: https://www.econbiz.de/10003780976

Money in motion : dynamic portfolio choice in retirement

Horneff, Wolfram J.; Maurer, Raimond; Mitchell, Olivia S.; … - 2007

Persistent link: https://www.econbiz.de/10003501839

Time is money : life cycle rational inertia and delegation of investment management

Kim, Hugh H.; Maurer, Raimond; Mitchell, Olivia S. - 2013

We investigate the theoretical impact of including two empirically-grounded insights in a dynamic life cycle portfolio choice model. The first is to recognize that, when managing their own financial wealth, investors incur opportunity costs in terms of current and future human capital...

Persistent link: https://www.econbiz.de/10010200882

Portfolio management with robustness in both prediction and decision : a mixture model based learning approach

Zhu, Shushang; Fan, Minjie; Li, Duan - In: Journal of economic dynamics & control 48 (2014), pp. 1-25

Persistent link: https://www.econbiz.de/10010485842

Target-driven investing : optimal investment strategies in defined contribution pension plans under loss aversion

Blake, David; Wright, Douglas; Zhang, Yumeng - In: Journal of economic dynamics & control 37 (2013) 1, pp. 195-209

Persistent link: https://www.econbiz.de/10009703603

Bounded rationality as a source of loss aversion and optimism : a study of psychological adaption under incomplete information

Yao, Jing; Li, Duan - In: Journal of economic dynamics & control 37 (2013) 1, pp. 18-31

Persistent link: https://www.econbiz.de/10009703615

Age-dependent investing : optimal funding and investment strategies in defined contribution pension plans when members are rational life cycle financial planners

Blake, David; Wright, Douglas; Zhang, Yumeng - In: Journal of economic dynamics & control 38 (2014), pp. 105-124

Persistent link: https://www.econbiz.de/10010387853

Discrete-time behavioral portfolio selection under cumulative prospect theory

Shi, Yun; Cui, Xiangyu; Li, Duan - In: Journal of economic dynamics & control 61 (2015), pp. 283-302

Persistent link: https://www.econbiz.de/10011589538

Discrete-time mean-CVaR portfolio selection and time-consistency induced term structure of the CVaR

Strub, Moris S.; Li, Duan; Cui, Xiangyu; Gao, Jianjun - In: Journal of economic dynamics & control 108 (2019), pp. 1-21

Persistent link: https://www.econbiz.de/10012313656

Counter-cyclical margins for option portfolios

Chen, Yuanyuan; Wu, Qi; Li, Duan - In: Journal of economic dynamics & control 146 (2023), pp. 1-33

Persistent link: https://www.econbiz.de/10014478163