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Portfolio optimisation with jumps : illustration with a pension accumulation scheme

Le Courtois, Olivier; Menoncin, Francesco - In: Journal of banking & finance 60 (2015), pp. 127-137

Persistent link: https://www.econbiz.de/10011544926

Optimal pension management under stochastic interest rates, wages, and inflation

Battocchio, Paolo (contributor); … - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001719335

Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases

Battocchio, Paolo; Menoncin, Francesco; Scaillet, Olivier - 2003

Persistent link: https://www.econbiz.de/10001741680

Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases

Battocchio, Paolo (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001743681

Optimal Asset Allocation for Pension Funds Under Mortality Risk During the Accumulation and Decumulation Phases

Battocchio, Paolo (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001795066

Mortality risk and real optimal asset allocation for pension funds

Menoncin, Francesco (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001865031

Optimal asset allocation for institutional investors

Menoncin, Francesco - 2003

Persistent link: https://www.econbiz.de/10001895556

Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases /Paolo Battocchio, Francesco Menoncin, Olivier Scaillet

Battocchio, Paolo (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001906837

Mortality risk and real optimal asset allocation for pension funds

Menoncin, Francesco; Scaillet, Olivier - 2003

Persistent link: https://www.econbiz.de/10001974801

Optimal Stopping Time, Consumption, Labour, and Portfolio Decision for a Pension Scheme

Menoncin, Francesco - 2019

In this work we solve in a closed form the problem of an agent who wants to optimise the inter-temporal utility of both his consumption and leisure by choosing: (i) the optimal inter-temporal consumption, (ii) the optimal inter-temporal labour supply, (iii) the optimal share of wealth to invest...

Persistent link: https://www.econbiz.de/10012870842