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Annuitization and asset allocation under exponential utility
Liang, Xiaoqing; Young, Virginia R. - In: Insurance / Mathematics & economics 79 (2018), pp. 167-183
Persistent link: https://www.econbiz.de/10011825434
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Optimal government debt maturity
Debortoli, Davide; Nunes, Ricardo; Yared, Pierre - 2014
Persistent link: https://www.econbiz.de/10010440108
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Mean-variance portfolio optimization problem with fixed salary and inflation protection for a defined contribution pension scheme
Nkeki, Charles I.; Nwozo, Chukwuma R. - In: Journal of statistical and econometric methods 2 (2013) 2, pp. 157-173
Persistent link: https://www.econbiz.de/10009769892
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Heterogeneity in optimal investment and drawdown strategies in retirement
Butt, Adam; Khemka, Gaurav; Warren, Geoff - In: Pacific-Basin finance journal 74 (2022), pp. 1-20
Persistent link: https://www.econbiz.de/10013389436
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A large-scale optimization model for replicating portfolios in the life insurance industry
Adelmann, Maximilian; Fernandez-Arjona, Lucio; Mayer, János - 2016
Replicating portfolios have recently emerged as an important tool in the life insurance industry, used for the valuation of companies' liabilities. This paper presents a replicating portfolio (RP) model for approximating life insurance liabilities as closely as possible. We minimize the L1 error...
Persistent link: https://www.econbiz.de/10011515725
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A large-scale optimization model for replicating portfolios in the life insurance industry
Adelmann, Maximilian; Fernandez-Arjona, Lucio; Mayer, János - In: Operations research 69 (2021) 4, pp. 1134-1157
Persistent link: https://www.econbiz.de/10012625163
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Optimal mean-variance efficiency of a family with life insurance under inflation risk
Liang, Zongxia; Zhao, Xiaoyang - In: Insurance / Mathematics & economics 71 (2016), pp. 164-178
Persistent link: https://www.econbiz.de/10011630638
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Multicriteria asset allocation in practice
Dächert, Kerstin; Grindel, Ria; Leoff, Elisabeth; … - In: OR spectrum : quantitative approaches in management 44 (2022) 2, pp. 349-373
Persistent link: https://www.econbiz.de/10013277563
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Genetic algorithm versus classical methods in sparse index tracking
Giuzio, Margherita - In: Decisions in economics and finance : DEF ; a journal of … 40 (2017) 1/2, pp. 243-256
Persistent link: https://www.econbiz.de/10011997732
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A linear risk-return model for enhanced indexation in portfolio optimization
Bruni, Renato; Cesarone, Francesco; Scozzari, Andrea; … - In: OR spectrum : quantitative approaches in management 37 (2015) 3, pp. 735-759
Persistent link: https://www.econbiz.de/10011296700