Pension schemes as options on pension fund assets: implications for pension fund management
- 1 December 1998
- journal article
- Published by Elsevier in Insurance: Mathematics and Economics
- Vol. 23 (3) , 263-286
- https://doi.org/10.1016/s0167-6687(98)00048-1
Abstract
No abstract availableThis publication has 30 references indexed in Scilit:
- Efficiency, Risk Aversion and Portfolio Insurance: An Analysis of Financial Asset Portfolios Held by Investors in the United KingdomThe Economic Journal, 1996
- Theory of constant proportion portfolio insuranceJournal of Economic Dynamics and Control, 1992
- Shortfall Risk and Pension Fund Asset ManagementCFA Magazine, 1991
- Optimal Portfolio InsuranceJournal of Financial and Quantitative Analysis, 1981
- The Pricing of Contingent Claims in Discrete Time ModelsThe Journal of Finance, 1979
- Immunization under stochastic models of the term structureJournal of the Institute of Actuaries, 1978
- Prices of State-Contingent Claims Implicit in Option PricesThe Journal of Business, 1978
- Duration and Risk Assessment for Bonds and Common StocksThe Journal of Finance, 1975
- The Pricing of Options and Corporate LiabilitiesJournal of Political Economy, 1973
- Risk and Reward in Corporate Pension FundsCFA Magazine, 1972