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Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases.

Paolo BattocchioFrancesco MenoncinOlivier Scaillet
Published in: Ann. Oper. Res. (2007)
Keyphrases
  • asset allocation
  • optimal portfolio
  • portfolio management
  • portfolio selection
  • expected utility
  • risk factors
  • worst case
  • optimal solution
  • risk management
  • dynamic programming
  • investment strategies