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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
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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
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Mean-variance inefficiency of CRRA and CARA utility functions for portfolio selection in defined contribution pension schemes
Vigna, Elena - Centre for Research on Pensions and Welfare Policies … - 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/10008635813
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Fuzzy portfolio optimization model under real constraints
Liu, Yong-Jun; Zhang, Wei-Guo - In: Insurance: Mathematics and Economics 53 (2013) 3, pp. 704-711
theory, fuzzy return and liquidity are quantified by possibilistic mean, and market risk and liquidity risk are measured by …
Persistent link: https://www.econbiz.de/10010719101
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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
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Portfolio Selection Optimization under Cumulative Prospect Theory – a parameter sensibility analysis
Coelho, Luis A.G. - Centro de Estudos e Formação Avançada em Gestão e … - 2014
The Cumulative Prospect Theory (CPT) is one of the most popular theories for evaluating the behavior of decision makers … in the context of risk and uncertainty. This theory emerged as a generalization of the Expected Utility Theory (EUT) and … being a relatively recent theory, its application has been somewhat reduced, especially when linked to optimization models …
Persistent link: https://www.econbiz.de/10010892272
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Portfolio Selection – A Technical Note
Martins, Ana Paula - Economics and Econometrics Research Institute (EERI) - 2012
This note develops the solutions of the static portfolio optimization problem in explicit matrix form. Three cases are contemplated and connected, with the derivation of relevant corner solutions: the unconstrained problem in the presence of risky assets only, the constrained one, and the...
Persistent link: https://www.econbiz.de/10010860050
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Non-Implementability of Arrow-Debreu Equilibria by Continuous Trading Under Knightian Uncertainty
Riedel, Frank; Beissner, Patrick - Institut für Mathematische Wirtschaftsforschung, … - 2014
Under risk, Arrow-Debreu equilibria can be implemented as Radner equilibria by continuous trading of few long-lived securities. We show that this result generically fails if there is Knightian uncertainty in the volatility. Implementation is only possible if all discounted net trades of the...
Persistent link: https://www.econbiz.de/10010929861
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Stochastic Spanning
Arvanitis, Stelios; Hallam, Mark; Post, Thierry - İktisat Bölümü, İktisadi ve İdari Bilimler Fakültesi - 2015
This study develops and implements a theory and method for analyzing whether introducing new securities or relaxing …
Persistent link: https://www.econbiz.de/10011255390
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The optimal behaviour of firms facing stochastic costs
Menoncin, Francesco; Nicolini, Rosella - Barcelona Graduate School of Economics (Barcelona GSE) - 2005
which it is actually settled. This decision is taken in a stochastic environment. Portfolio theory is used to derive the …
Persistent link: https://www.econbiz.de/10010547087