6 citations · 12 across the 6 of their papers we have counts for
5 papers · 1 filter
Asymptotically Optimal Management of Heterogeneous Collectivised Investment Funds
John Armstrong, Cristin Buescu
A collectivised fund is a proposed form of pension investment, in which all investors agree that any funds associated with deceased members should be split among survivors. For thi…
Collectivised Pension Investment with Exponential Kihlstrom--Mirman Preferences
John Armstrong, Cristin Buescu
In a collectivised pension fund, investors agree that any money remaining in the fund when they die can be shared among the survivors. We give a numerical algorithm to compute the…
Collectivised Pension Investment with Homogeneous Epstein-Zin Preferences
John Armstrong, Cristin Buescu
In a collectivised pension fund, investors agree that any money remaining in the fund when they die can be shared among the survivors. We compute analytically the optimal investmen…
Collectivised Post-Retirement Investment
John Armstrong, Cristin Buescu
We quantify the benefit of collectivised investment funds, in which the assets of members who die are shared among the survivors. For our model, with realistic parameter choices, a…
Portfolio Optimization for Cointelated Pairs: SDEs vs. Machine Learning
Babak Mahdavi-Damghani, Konul Mustafayeva, Stephen Roberts +1
With the recent rise of Machine Learning as a candidate to partially replace classic Financial Mathematics methodologies, we investigate the performances of both in solving the pro…