Zobrazeno 1 - 10
of 19
pro vyhledávání: '"Ricardo Josa Fombellida"'
Publikováno v:
Rect@, Vol Actas_8, Iss 1, p 6 (2000)
El enfoque clásico para el estudio de pro lemas de control estocástico se asa en la ecuación de Hamilton-Jacobi-Bellman, que caracteriza a la función valor óptimo En este trabajo mostramos que en ciertos problemas es posible deducir ecuaciones e
Externí odkaz:
https://doaj.org/article/32e098efcc8948c88d4184d01c9952d5
Publikováno v:
ASTIN Bulletin. 53:62-83
We study the time-consistent investment and contribution policies in a defined benefit stochastic pension fund where the manager discounts the instantaneous utility over a finite planning horizon and the final function at constant but different insta
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::2b3b9fab996ecc20bb6ec60ccd14aa48
https://doi.org/10.1017/asb.2022.22
https://doi.org/10.1017/asb.2022.22
Publikováno v:
Optimal Control Applications and Methods. 40:545-557
This paper aims to characterize a class of stochastic differential games which satisfy the certainty equivalence principle. This means that the Markov Perfect Nash Equilibrium is also an equilibrium of the associated deterministic game. By focusing o
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c8bef7058593c1e9395f6b5076c91fa8
https://doi.org/10.1002/oca.2494
https://doi.org/10.1002/oca.2494
Autor:
Jorge Navas, Ricardo Josa-Fombellida
Publikováno v:
UVaDOC: Repositorio Documental de la Universidad de Valladolid
Universidad de Valladolid
Dipòsit Digital de la UB
Universidad de Barcelona
UVaDOC. Repositorio Documental de la Universidad de Valladolid
instname
Universidad de Valladolid
Dipòsit Digital de la UB
Universidad de Barcelona
UVaDOC. Repositorio Documental de la Universidad de Valladolid
instname
Producción Científica
We consider the time consistent management of a defined benefit stochastic pension plan where the participants have different rates of time preference and the fund manager collects this heterogeneity when discounting the
We consider the time consistent management of a defined benefit stochastic pension plan where the participants have different rates of time preference and the fund manager collects this heterogeneity when discounting the
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e67bcdf9cac5433fce9de1b328498b57
http://hdl.handle.net/2445/175039
http://hdl.handle.net/2445/175039
Publikováno v:
e-Archivo. Repositorio Institucional de la Universidad Carlos III de Madrid
instname
instname
It is generally admitted that a correct forecasting of uncertain variables needs Markov decision rules. In a dynamic game environment, this belief is reinforced if one focuses on credible actions of the players. Usually, subgame perfectness requires
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::4caf7648bb88ba84718d707372dc4f73
https://doi.org/10.1007/s13235-017-0221-y
https://doi.org/10.1007/s13235-017-0221-y
Publikováno v:
e-Archivo. Repositorio Institucional de la Universidad Carlos III de Madrid
instname
UVaDOC. Repositorio Documental de la Universidad de Valladolid
UVaDOC: Repositorio Documental de la Universidad de Valladolid
Universidad de Valladolid
instname
UVaDOC. Repositorio Documental de la Universidad de Valladolid
UVaDOC: Repositorio Documental de la Universidad de Valladolid
Universidad de Valladolid
The paper studies the optimal asset allocation problem of a defined benefit pension plan that operates in a financial market composed of risky assets whose prices are constant elasticity variance processes. The benefits paid to the participants are d
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::1907e4398b8bf52d3b9ef32264e42cd5
https://doi.org/10.1016/j.insmatheco.2018.06.011
https://doi.org/10.1016/j.insmatheco.2018.06.011
Publikováno v:
European Journal of Operational Research. 220:404-413
We study the asset allocation of defined benefit pension plans of the type designed and sponsored by firms with the aim of providing a lifetime pension to the employees at the age of retirement. Benefits are stochastic, combining Poisson jumps with B
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::6087b0faf4354a83ed491737d7afd01c
https://doi.org/10.1016/j.ejor.2012.01.033
https://doi.org/10.1016/j.ejor.2012.01.033
Publikováno v:
e-Archivo. Repositorio Institucional de la Universidad Carlos III de Madrid
instname
instname
The original publication is available at www.springerlink.com The paper provides a systematic way for finding a partial differential equation that directly characterizes the optimal control, in the framework of onedimensional stochastic control probl
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::1f8a03b5af908a2cfbc2a16d33f80409
https://doi.org/10.1007/s10957-010-9712-3
https://doi.org/10.1007/s10957-010-9712-3
Optimal asset allocation for aggregated defined benefit pension funds with stochastic interest rates
Publikováno v:
e-Archivo. Repositorio Institucional de la Universidad Carlos III de Madrid
instname
instname
In this paper we study the optimal management of an aggregated pension fund of defined benefit type, in the presence of a stochastic interest rate. We suppose that the sponsor can invest in a savings account, in a risky stock and in a bond with the a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::78848e64004330dbb7f5fd4237e9dc0f
https://doi.org/10.1016/j.ejor.2009.02.021
https://doi.org/10.1016/j.ejor.2009.02.021
Publikováno v:
e-Archivo. Repositorio Institucional de la Universidad Carlos III de Madrid
instname
instname
In this paper we study the problem of simultaneous minimization of risks, and maximization of the terminal value of expected funds assets in a stochastic defined benefit aggregated pension plan. The risks considered are the solvency risk, measured as
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f4a1ed2e52181b9d897926455c239667
https://doi.org/10.1016/j.ejor.2007.03.002
https://doi.org/10.1016/j.ejor.2007.03.002