All Outputs (5)

Liability-driven investment for pension funds: stochastic optimization with real assets (2024)
Journal Article

Using a multi-stage stochastic programming method, we suggest an optimal liability-driven investment (LDI) strategy for a closed defined-benefit pension fund including real assets. The objective is to jointly optimize contribution, funding ratio, and... Read More about Liability-driven investment for pension funds: stochastic optimization with real assets.

Lifetime consumption and investment with housing, deferred annuities and home equity release (2021)
Journal Article

We develop a life-cycle optimal investment and consumption model with deferred annuities, housing, mortgages and home equity release. The investor can hold cash, bonds, stocks, annuities and can invest in housing, through renting, purchasing, or a mi... Read More about Lifetime consumption and investment with housing, deferred annuities and home equity release.

Glide paths for a retirement plan with deferred annuities (2021)
Journal Article

We construct investment glide paths for a retirement plan using both traditional asset classes and deferred annuities (DAs). The glide paths are approximated by averaging the asset proportions of stochastic optimal investment solutions. The objective... Read More about Glide paths for a retirement plan with deferred annuities.

Optimal investment for a retirement plan with deferred annuities allowing for inflation and labour income risk (2021)
Journal Article

We construct an optimal investment portfolio model for an individual investor saving in a retirement plan. The investor earns stochastic labour income with both permanent and temporary shocks, and has access to equity, conventional bond, inflation-in... Read More about Optimal investment for a retirement plan with deferred annuities allowing for inflation and labour income risk.

Optimal investment for a retirement plan with deferred annuities (2021)
Journal Article

We construct an optimal investment portfolio model with deferred annuities for an individual investor saving in a retirement plan. The objective function consists of power utility in terms of consumption of all secured retirement income from the defe... Read More about Optimal investment for a retirement plan with deferred annuities.