Bart Oldenkamp

Cardano Risk Management

Rotterdam 3011 AA

Netherlands

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Scholarly Papers (1)

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When Do Derivatives Add Value in Pension Fund Asset Allocation?

Rotman International Journal of Pension Management, Vol. 6, No. 1, 2013
Posted: 29 May 2013
Jiajia Cui, Jiajia Cui, Bart Oldenkamp and Michel Vellekoop
University of AmsterdamAlgemene Pensioen Groep (APG), Cardano Risk Management and University of Twente - Department of Applied Mathematics

Abstract:

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Derivatives, Optimal Portfolio Choice, Pension Fund, Stochastic Volatility and Jump Risks