171
Views
1
CrossRef citations to date
0
Altmetric
Original Articles

DC pension fund benchmarking with fixed-mix portfolio optimization

, , , , , & show all
Pages 365-370 | Received 27 Apr 2007, Accepted 03 Jul 2007, Published online: 22 Aug 2007

References

  • Carino , DR and Turner , AL . 1998 . “ Multiperiod asset allocation with derivative assets ” . In Worldwide Asset and Liability Modeling , Edited by: Ziemba , WT and Mulvey , JM . 182 – 204 . Cambridge : Cambridge University Press .
  • Dempster , MAH , Germano , M , Medova , EA , Rietbergen , MI , Sandrini , F and Scrowston , M . 2006 . Managing guarantees . J. Portfolio Manag. , 32 ( 2 ) : 51 – 61 .
  • Dempster , MAH , Evstigneev , IV and Schenk-Hoppé , KR . 2007a . Volatility-induced financial growth . Quant. Finance , 7 ( 2 ) : 151 – 160 .
  • Dempster , MAH , Germano , M , Medova , EA , Rietbergen , MI , Sandrini , F and Scrowston , M . 2007b . Designing minimum guaranteed return funds . Quant. Finance , 7 ( 2 ) : 245 – 256 .
  • Fleten , SE , Hoyland , K and Wallace , SW . 2002 . The performance of stochastic dynamic and fixed mix portfolio models . Eur. J. Oper. Res. , 140 ( 1 ) : 37 – 49 .
  • Hicks-Pedrón , N . 1998 . Model-based asset management: a comparative study , PhD dissertation, Centre for Financial Research, Judge Institute of Management, University of Cambridge .
  • Mulvey , JM , Pauling , WR and Madey , RE . 2003 . Advantages of multiperiod portfolio models . J. Portfolio Manag. , 29 ( 2 ) : 35 – 45 .
  • Mulvey , JM , Kaul , SSN and Simsek , KD . 2004 . Evaluating a trend-following commodity index for multi-period asset allocation . J. Alternat. Invest. , 7 ( 1 ) : 54 – 69 .
  • Mulvey , JM , Ural , C and Zhang , Z . 2007 . Improving performance for long-term investors: wide diversification, leverage and overlay strategies . Quant. Finance , 7 ( 2 ) : 175 – 187 .
  • Powell , MJD . 1964 . An efficient method for finding the minimum of a function of several variables without calculating derivatives . Comput. J. , 7 : 303 – 307 .
  • Rietbergen , MI . 2005 . Long term asset liability management for minimum guaranteed return funds , PhD dissertation, Centre for Financial Research, Judge Business School, University of Cambridge .
  • Scott , JE . 2002 . Modelling and solution of large-scale stochastic programmes , PhD dissertation, Centre for Financial Research, Judge Institute of Management, University of Cambridge .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.