Optimal Consumption, Asset Allocation and Annuitisation
Optimal asset allocation and annuitisation in a defined contribution pension scheme
... the consumption and from a bequest if he has a bequest ...on annuitisation, we investigate the results related to the three main cases of optimal annuitisation ...pensioner’s optimal ...
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Optimal asset allocation and annuitisation in a defined contribution pension scheme
... the consumption and from a bequest if he has a bequest ...on annuitisation, we investigate the results related to the three main cases of optimal annuitisation ...pensioner’s optimal ...
315
Optimal Real Consumption and Asset Allocation for a HARA Investor with Labour Income
... the consumption price process, (iv) a first change in the probability measure, (v) the behaviour of the investor’s wealth under the self-financing condition, (vi) the definition of the “real forward la- bor ...
31
Optimal Asset Allocation in Asset Liability Management
... There are, however, two main differences compared to the case of a VaR constraint. First, the manager now invests fully in stocks when the fund is highly underfunded, leading to a V- shaped policy function as in ...
38
Optimal Asset Allocation in Asset Liability Management
... There are, however, two main differences compared to the case of a VaR constraint. First, the manager now invests fully in stocks when the fund is highly underfunded, leading to a V- shaped policy function as in ...
37
Liability valuation and optimal asset allocation
... typical asset and liability management (ALM) exercise for defined bene- fit pension plans, one that is conducted on a regular basis, for example, during the prepara- tion of the annual financial statements or the ...
27
Optimal International Asset Allocation and Home Bias
... an optimal portfolio consisting of three risky assets based on the excess returns of two domestic risky assets and one foreign risky asset over a domestic risk-free ...foreign asset is converted into ...
29
Optimal Asset Allocation for Sovereign Wealth Funds
... for Optimal Asset Allocation of Sovereign Wealth”, Journal of Investment Management, Q4 ...“Optimal Asset Allocation for Sovereign Wealth Funds: Theory and Practice”, Bankers, ...
22
Optimal Asset Allocation for Sovereign Wealth Funds:
... on asset allocation, we consider macroeconomic variables as ...the asset side, and the debt management offi ce on the liability ...SWF asset allocation is an unfeasible fi rst-best ...
6
Enhancing Q-Learning for Optimal Asset Allocation
... The proposed methods allows the construction of a multi-period portfolio management system which takes into account transaction costs, the risk preferences of the investor, and[r] ...
7
Optimal Asset Allocation with Factor Models for Large Portfolios
... of asset returns is characterized by a general factor model, with possibly heteroskedastic ...of asset return ...forecasting asset returns, current and lagged factors do not enter the limit portfolio ...
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Optimal Asset Allocation Under Linear Loss Aversion
... the asset allocation conducted by banks, insurance and investment companies, or any financial institution that is concerned about risk and about the impact of psychology on individual choice ...
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Optimal Asset Allocation under Quadratic Loss Aversion
... risk-free asset, and analytically derive the optimal risky asset’s weight, under the assumption of binomially and (generally) continuously distributed returns of the risky ...the optimal QLA ...
56
Optimal Life-Cycle Asset Allocation with Housing as Collateral
... liquid asset when the investor suffers simultaneously negative shocks to both his income and his housing asset, and reduces the investor’s willingness to take equity ...
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Optimal Life-Cycle Asset Allocation with Housing as Collateral
... uid asset accumulation, which allows the investors to smooth consumption and hold the desired amount of stock investment without incurring a refinancing ...liquid asset on hand for stock ...
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Optimal Asset Allocation and Risk Shifting in Money Management
... equilibrium asset prices in an economy with agents compensated based on their performance relative to a benchmark, Arora and Ou-Yang (2006) study a fund manager’s career concerns ...manager’s optimal policy ...
40
THE OPTIMAL ASSET ALLOCATION PROBLEMFOR AN INVESTOR THROUGH UTILITY MAXIMIZATION
... however, optimal investment problem of utility maximization with taxes, dividends and transaction costs under power Utility function is ...the optimal strategies are analyzed and the effects of market ...
9
Optimal Asset Location and Allocation with Taxable and Tax-Deferred Investing
... intertemporal asset location and retirement contribution ...to consumption. The numerical analysis of these consumption shocks is conducted using our base-case parame- ter ...their optimal ...
40
OPTIMAL PORTFOLIO ALLOCATION UNDER ASSET AND SURPLUS VaR CONSTRAINTS
... The first point is a key issue in management of many institutions, in particular insurance companies, and it is becoming even more important because of the new accounting standards and regulation rules (Basle com- ...
33
Optimal Resource Allocation in the Brain and the Capital Asset Pricing Model
... with optimal allocation of limited brain resources, and this strategy is universally employed in the brain (see Leider et al (2018) and references ...
40