Optimal pension management in a stochastic framework

By P. Battocchio, F. Menoncin. 2004

212 citations recorded by the source corpus.

Subfields: Accounting, Demography, Finance

View Paper: https://www.semanticscholar.org/paper/069d8f6ff37c276944d27b5ac807a90efdbf9053

How researchers see this paper

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In Accounting

1. Guohui Guan
2. Zongxia Liang
3. Elena Vigna
4. F. Menoncin

In Demography

1. Guohui Guan
2. Zongxia Liang
3. Elena Vigna
4. F. Menoncin

In Finance

1. Elena Vigna
2. Zongxia Liang
3. Guohui Guan
4. F. Menoncin

Citations in the corpus

• Nash equilibrium strategies for a defined contribution pension management (2015, unknown): “See, for example, Boulier et al. (2001), Battocchio and Menoncin (2004), Cairns et al. (2006), Zhang et al. (2007), Gao http://dx.doi.org/10.1016/j.insmatheco.2015.03.014 0167-6687/© 2015 Elsevier B.V.”
• Mean–variance efficiency of DC pension plan under stochastic interest rate and mean-reverting returns (2015, background): “The risk of inflation is originally considered in the stochastic framework of Battochio and Menoncin [4](2004).”
• Markowitz’s mean–variance defined contribution pension fund management under inflation: A continuous-time model (2013, unknown): “To maximize the exponential utility of the fund wealth in a continuous-time setting, Battocchio and Menoncin (2004) and Ma (2011) study an optimal asset allocation problem with inflation.”
• On efficiency of mean–variance based portfolio selection in defined contribution pension schemes (2014, methodology): “The value of ARA1⁄4 20 used by Battocchio and Menoncin (2004) is not appropriate in this context, because it would imply an value of around 37, with implied final target F1⁄4 4.67, much too close to the basic value achievable with the riskless strategy, x0 1⁄4 4:56. Therefore, such large values of k”
• Optimal management of DC pension plan in a stochastic interest rate and stochastic volatility framework (2014, methodology): “Battocchio and Mennoncin [1](2004), Zhang et al.”
• Mean–variance target-based optimisation for defined contribution pension schemes in a stochastic framework (2017, background): “In order to avoid the distortion of the time dependent bond’s duration, we take a constant time-to-maturity (K) zero-coupon bond (like in Boulier et al., 2001; Battocchio and Menoncin, 2004) whose price is BK (t) = B (t, t+K).”