This document has not been cited yet.

1. [1] Björk, T. (1998). Arbitrage Theory in Continuous Time. Oxford University Press, New York.
   Paper not yet in RePEc: Add citation now
   
2. [10] Crandall, M. G., Ishii, H., Lions, P. (1992). Users guide to viscosity solu- tions of second order partial differential equations. Bulletin of the American Mathematical Society 27, 1-67.
   Paper not yet in RePEc: Add citation now
   

3. [11] Deelstra, G., Grasselli, M., Koehl, P.-F., (2000). Optimal investment strate- gies in a CIR framework. Journal of Applied Probability 37, 1-12.

4. [12] Duffie, D. (1996). Dynamic Asset Pricing Theory. Second edition, Princeton University Press.
   Paper not yet in RePEc: Add citation now
   
5. [13] Freiling, G. (2002). A survey of nonsymmetric Riccati equations. Linear Algebra and its Applications 351-352, 243-270.
   Paper not yet in RePEc: Add citation now
   

6. [14] Kim, T. S., Omberg, E. (1996). Dynamic Nonmyopic Portfolio Behavior. The Review of Financial Studies 9, 141-161.

7. [15] Kogan, L., Uppal, R. (1999). Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies. Working Paper, Wharton.
   Paper not yet in RePEc: Add citation now
   

8. [16] Lioui, A., Poncet, P. (2001). On Optimal Portfolio Choice under Stochastic Interest Rates. Journal of Economic Dynamics and Control 25, 1841-1865.

9. [17] Menoncin, F. (2002). Optimal Portfolio and Background Risk: An Exact and an Approximated Solution. Insurance: Mathematics and Economics 31, 249-265.

10. [18] Merton, R. C. (1969). Lifetime Portfolio Selection under Uncertainty: the Continuous-Time Case. Review of Economics and Statistics 51, 247-257.

11. [19] Merton, R. C. (1971). Optimum Consumption and Portfolio Rules in a Continuous-Time Model. Journal of Economic Theory 3, 373-413.

12. [2] Boulier, J.-F., Huang, S. J., Taillard, G. (2001). Optimal Management Under Stochastic Interest. Insurance: Mathematics and Economics 28, 173- 189.

13. [20] Øksendal, B. (2000). Stochastic Differential Equations - An Introduction with Applications - Fifth edition. Springer, Berlin.
    Paper not yet in RePEc: Add citation now
    
14. [21] Stockey, N. L., Lucas, R. E. Jr. (1989). Recursive Methods in Economic Dynamics. Harvard University Press, Cambridge - Massachusetts.
    Paper not yet in RePEc: Add citation now
    

15. [22] Vasicek, O. (1977). An Equilibrium characterization of the Term Structure. Journal of Financial Economics 5, 177-188.

16. [23] Wachter, J. A. (1998). Portfolio and Consumption Decisions Under Mean- Reverting Returns: An Exact Solution for Complete Markets. Working Paper, Harvard University.

17. [24] Zariphopoulou, T. (2001). A solution approach to valuation with unhedge- able risks. Finance and Stochastics 5, 61-82.

18. [3] Buckdahn, R., Ma, J. (2001a). Stochastic viscosity solutions for nonlinear stochastic partial differential equations - Part I. Stochastic Processes and their Applications 93, 181-204.

19. [4] Buckdahn, R., Ma, J. (2001b). Stochastic viscosity solutions for nonlinear stochastic partial differential equations - Part II. Stochastic Processes and their Applications 93, 205-228.

20. [5] Campbell, J. Y. (2000). Asset Pricing at the Millennium. The Journal of Finance 55, 1515-1567.

21. [6] Chacko, G., Viceira, L. M. (1999). Dynamic consumption and portfolio choice with stochastic volatility in incomplete markets. Working Paper, Harvard University.

22. [7] Cox, J. C., Huang, C. F. (1989). Optimal consumption and portfolio policies when asset prices follow a diffusion process. Journal of Economic Theory 49, 33-83.

23. [8] Cox, J. C., Huang, C. F. (1991). A variational problem arising in financial economics. Journal of Mathematical Economics 20, 465-487.

24. [9] Cox, J. C., Ingersoll, J. E. Jr., Ross, S. A. (1985). A Theory of the Term Structure of Interest Rates. Econometrica 53, 385-407.

1. Martingale Consumption. (2025). Nielsen, Peter Holm.
   In: Papers.
   RePEc:arx:papers:2505.20504.

   Full description at Econpapers || Download paper

2. Pension funds with longevity risk: an optimal portfolio insurance approach. (2024). Mancinelli, Daniele ; di Giacinto, Marina ; Oliva, Immacolata ; Marino, Mario.
   In: Insurance: Mathematics and Economics.
   RePEc:eee:insuma:v:119:y:2024:i:c:p:268-297.

   Full description at Econpapers || Download paper

3. Optimal Pension Fund Management with Foreign Investment in a Stochastic Environment. (2022). Wu, Ting-Pin ; Hung, Ming-Chin ; Tang, Mei-Ling.
   In: Mathematics.
   RePEc:gam:jmathe:v:10:y:2022:i:14:p:2468-:d:863741.

   Full description at Econpapers || Download paper

4. The investor problem based on the HJM model. (2021). Peszat, Szymon ; Zawisza, Dariusz.
   In: Papers.
   RePEc:arx:papers:2010.13915.

   Full description at Econpapers || Download paper

5. Optimal asset allocation for a bank under risk control. (2018). Perera, Ryle S ; Sato, Kimitoshi.
   In: International Journal of Financial Engineering (IJFE).
   RePEc:wsi:ijfexx:v:05:y:2018:i:03:n:s2424786318500226.

   Full description at Econpapers || Download paper

6. Asset allocation for a DC pension fund under stochastic interest rates and inflation-protected guarantee. (2018). Wu, Ting-Pin ; Chen, Son-Nan ; Tang, Mei-Ling ; Lai, Gene C.
   In: Insurance: Mathematics and Economics.
   RePEc:eee:insuma:v:78:y:2018:i:c:p:87-104.

   Full description at Econpapers || Download paper

7. OPTIMAL INVESTMENT AND OPTIMAL ADDITIONAL VOLUNTARY CONTRIBUTION RATE OF A DC PENSION FUND IN A JUMP-DIFFUSION ENVIRONMENT. (2017). Nkeki, Charles I.
   In: Annals of Financial Economics (AFE).
   RePEc:wsi:afexxx:v:12:y:2017:i:04:n:s2010495217500178.

   Full description at Econpapers || Download paper

8. Existence of optimal consumption strategies in markets with longevity risk. (2017). Vellekoop, M H ; de Kort, J.
   In: Insurance: Mathematics and Economics.
   RePEc:eee:insuma:v:72:y:2017:i:c:p:107-121.

   Full description at Econpapers || Download paper

9. Dynamic mean–variance portfolio selection with liability and stochastic interest rate. (2015). Chang, Hao.
   In: Economic Modelling.
   RePEc:eee:ecmode:v:51:y:2015:i:c:p:172-182.

   Full description at Econpapers || Download paper

10. Mean–variance efficiency with extended CIR interest rates. (2010). Ferland, Rene ; Watier, Franois.
    In: Applied Stochastic Models in Business and Industry.
    RePEc:wly:apsmbi:v:26:y:2010:i:1:p:71-84.

    Full description at Econpapers || Download paper

11. Dynamic asset allocation with stochastic income and interest rates. (2010). Munk, Claus ; Sorensen, Carsten.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:96:y:2010:i:3:p:433-462.

    Full description at Econpapers || Download paper

12. A benchmarking approach to optimal asset allocation for insurers and pension funds. (2010). Lim, Andrew E. B., ; Wong, Bernard.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:46:y:2010:i:2:p:317-327.

    Full description at Econpapers || Download paper

13. The role of longevity bonds in optimal portfolios. (2008). Menoncin, Francesco.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:42:y:2008:i:1:p:343-358.

    Full description at Econpapers || Download paper

14. Portfolio and consumption choice with stochastic investment opportunities and habit formation in preferences. (2008). Munk, Claus.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:32:y:2008:i:11:p:3560-3589.

    Full description at Econpapers || Download paper

15. Optimal management and inflation protection for defined contribution pension plans. (2007). Ewald, Christian-Oliver ; Korn, Ralf ; Zhang, Aihua.
    In: MPRA Paper.
    RePEc:pra:mprapa:3300.

    Full description at Econpapers || Download paper

16. The role of longevity bonds in optimal portfolios. (2006). Menoncin, Francesco.
    In: Working Papers.
    RePEc:ubs:wpaper:0601.

    Full description at Econpapers || Download paper

17. Stochastic lifestyling: Optimal dynamic asset allocation for defined contribution pension plans. (2006). Dowd, Kevin ; Blake, David ; Cairns, Andrew J. G., .
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:30:y:2006:i:5:p:843-877.

    Full description at Econpapers || Download paper

18. Risk management and asset allocation with jump-diffusion exogenous risks: Some algebraic approximated solutions. (2005). Menoncin, Francesco.
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:11:y:2005:i:3:p:223-246.

    Full description at Econpapers || Download paper

19. Notes and Comments: Sup-convolutions of HARA utilities in the affine term structure. (2005). Grasselli, Martino.
    In: Decisions in Economics and Finance.
    RePEc:spr:decfin:v:28:y:2005:i:1:p:67-78.

    Full description at Econpapers || Download paper

20. CLOSED‐FORM SOLUTIONS FOR OPTIMAL PORTFOLIO SELECTION WITH STOCHASTIC INTEREST RATE AND INVESTMENT CONSTRAINTS. (2005). Rindisbacher, Marcel ; Detemple, Jerome ; Jerˆme Detemple, .
    In: Mathematical Finance.
    RePEc:bla:mathfi:v:15:y:2005:i:4:p:539-568.

    Full description at Econpapers || Download paper

21. Optimal design of the guarantee for defined contribution funds. (2004). Koehl, Pierre-Franois ; Grasselli, Martino ; Deelstra, Griselda.
    In: ULB Institutional Repository.
    RePEc:ulb:ulbeco:2013/7602.

    Full description at Econpapers || Download paper

22. Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans. (2004). Blake, David ; Dowd, Kevin ; Andrew J. G. Cairns, .
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:24831.

    Full description at Econpapers || Download paper

23. Optimal design of the guarantee for defined contribution funds. (2004). Koehl, Pierre-Francois ; Grasselli, Martino ; Deelstra, Griselda.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:28:y:2004:i:11:p:2239-2260.

    Full description at Econpapers || Download paper

24. Optimal investment strategies in the presence of a minimum guarantee. (2003). Koehl, Pierre-Franois ; Grasselli, Martino ; Deelstra, Griselda.
    In: ULB Institutional Repository.
    RePEc:ulb:ulbeco:2013/7598.

    Full description at Econpapers || Download paper

25. Mortality Risk and Real Optimal Asset Allocation for Pension Funds. (2003). Scaillet, Olivier ; Menoncin, Francesco.
    In: FAME Research Paper Series.
    RePEc:fam:rpseri:rp101.

    Full description at Econpapers || Download paper

26. A stability result for the HARA class with stochastic interest rates. (2003). Grasselli, Martino.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:33:y:2003:i:3:p:611-627.

    Full description at Econpapers || Download paper

27. Stochastic optimal control of annuity contracts. (2003). Devolder, Pierre ; Princep, Manuela Bosch ; Fabian, Inmaculada Dominguez.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:33:y:2003:i:2:p:227-238.

    Full description at Econpapers || Download paper

28. Optimal investment strategies in the presence of a minimum guarantee. (2003). Koehl, Pierre-Francois ; Grasselli, Martino ; Deelstra, Griselda.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:33:y:2003:i:1:p:189-207.

    Full description at Econpapers || Download paper

29. Optimal Real Consumption and Asset Allocation for a HARA Investor with Labour Income. (2003). Menoncin, Francesco ; Francesco, Menoncin .
    In: LIDAM Discussion Papers IRES.
    RePEc:ctl:louvir:2003015.

    Full description at Econpapers || Download paper

30. Optimal portfolio and background risk: an exact and an approximated solution. (2002). Menoncin, Francesco.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:31:y:2002:i:2:p:249-265.

    Full description at Econpapers || Download paper

31. Investment Strategies for HARA Utility Function : A General Algebraic Approximated Solution. (2002). Menoncin, Francesco.
    In: LIDAM Discussion Papers IRES.
    RePEc:ctl:louvir:2002034.

    Full description at Econpapers || Download paper

32. Investment Strategies in Incomplete Markets : Sufficient Conditions for a Closed Form Solution. (2002). Menoncin, Francesco.
    In: LIDAM Discussion Papers IRES.
    RePEc:ctl:louvir:2002033.

    Full description at Econpapers || Download paper

33. Optimal Pension Management under Stochastic Interest Rates, Wages, and Inflation. (2002). Menoncin, Francesco ; Battocchio, Paolo .
    In: LIDAM Discussion Papers IRES.
    RePEc:ctl:louvir:2002021.

    Full description at Econpapers || Download paper

34. Optimal Portfolio Strategies with Stochastic Wage Income : The Case of A defined Contribution Pension Plan. (2002). Battocchio, Paolo .
    In: LIDAM Discussion Papers IRES.
    RePEc:ctl:louvir:2002005.

    Full description at Econpapers || Download paper

35. Pensionmetrics: stochastic pension plan design and value-at-risk during the accumulation phase. (2001). Dowd, Kevin ; Blake, David ; Cairns, Andrew J. G., .
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:29:y:2001:i:2:p:187-215.

    Full description at Econpapers || Download paper

Report date: 2025-10-04 13:56:21 || Missing content? Let us know