Optimal annuity portfolio under inflation risk.

Agnieszka Karolina Konicz David Pisinger Alex Weissensteiner

Published in: Comput. Manag. Sci. (2015)

Keyphrases

conditional expectation
decision making
portfolio management
var model
optimal portfolio
dynamic programming
risk neutral
investment strategies
optimal control
information systems
state space
worst case
optimal strategy
portfolio optimization
investment decisions
optimal solution
case study