Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund

By Jean Boulier, Shaojuan Huang, G. Taillard. 2001

297 citations recorded by the source corpus.

Subfields: Accounting, Demography, Finance

View Paper: https://www.semanticscholar.org/paper/557d2dbbdc0982f70373dc233681bbbc13ad71c8

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Citations in the corpus

Optimal investment strategies in the presence of a minimum guarantee (2003, background): “Boulier et al. (2001)also study a problem closely related to ours, namely the optimal management of a defined contribution plan in the presence of a minimum guarantee.”
On efficiency of mean–variance based portfolio selection in defined contribution pension schemes (2014, background): “…of defined contribution pension schemes is full of examples of optimal investment strategies resulting from EU maximization (see, for instance, Boulier et al. (2001), Haberman and Vigna (2002), Deelstra et al. (2003), Devolder et al. (2003), Battocchio and Menoncin (2004), Cairns et al.…”
Stochastic lifestyling: Optimal dynamic asset allocation for defined contribution pension plans (2006, methodology): “…with bonds) is designed to hedge interest rate (and hence annuity) risk in the case where interest rates are stochastic.3 1In the studies of Boulier et al., 2001, and Deelstra et al., 2000, utility is also measured relative to a salary-related benchmark, but the utility function depends on…”
Optimal investment strategy for annuity contracts under the constant elasticity of variance (CEV) model (2009, background): “The financial risk in DC schemes in the accumulation phase is considered, among others, by Blake et al. (2001), Booth and Yakoubov (2000), Boulier et al. (2001), Haberman and Vigna (2002), Deelstra et al. (2004).”
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.”
Optimal reinsurance and investment strategies for insurer under interest rate and inflation risks (2014, background): “Boulier, Huang and Taillard[10](2001), Josa-Fombellida and Rincón-Zapatero[23](2011) solved the optimal investment problem under stochastic interest rate in defined contribution(abbr.”
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).”
Robust optimal investment strategy for an AAM of DC pension plans with stochastic interest rate and stochastic volatility (2018, methodology): “Boulier et al. (2001) incorporate * Corresponding author.”