{"id":"https://openalex.org/W4413754776","doi":"https://doi.org/10.1007/s10287-025-00539-0","title":"Optimal portfolio choice in jump-diffusion markets with longevity risk","display_name":"Optimal portfolio choice in jump-diffusion markets with longevity risk","publication_year":2025,"publication_date":"2025-08-27","ids":{"openalex":"https://openalex.org/W4413754776","doi":"https://doi.org/10.1007/s10287-025-00539-0"},"language":"en","primary_location":{"id":"doi:10.1007/s10287-025-00539-0","is_oa":true,"landing_page_url":"https://doi.org/10.1007/s10287-025-00539-0","pdf_url":"https://link.springer.com/content/pdf/10.1007/s10287-025-00539-0.pdf","source":{"id":"https://openalex.org/S28822639","display_name":"Computational Management Science","issn_l":"1619-697X","issn":["1619-697X","1619-6988"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Computational Management Science","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"hybrid","oa_url":"https://link.springer.com/content/pdf/10.1007/s10287-025-00539-0.pdf","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5119450422","display_name":"Davide Feleppa","orcid":null},"institutions":[{"id":"https://openalex.org/I861853513","display_name":"Sapienza University of Rome","ror":"https://ror.org/02be6w209","country_code":"IT","type":"education","lineage":["https://openalex.org/I861853513"]}],"countries":["IT"],"is_corresponding":false,"raw_author_name":"Davide Feleppa","raw_affiliation_strings":["Department of Methods and Models for Territory, Economics and Finance, Sapienza Universit\u00e0 di Roma, Rome, Italy"],"raw_orcid":"https://orcid.org/0009-0000-0872-7069","affiliations":[{"raw_affiliation_string":"Department of Methods and Models for Territory, Economics and Finance, Sapienza Universit\u00e0 di Roma, Rome, Italy","institution_ids":["https://openalex.org/I861853513"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5035520315","display_name":"Immacolata Oliva","orcid":"https://orcid.org/0000-0002-6163-1207"},"institutions":[{"id":"https://openalex.org/I861853513","display_name":"Sapienza University of Rome","ror":"https://ror.org/02be6w209","country_code":"IT","type":"education","lineage":["https://openalex.org/I861853513"]}],"countries":["IT"],"is_corresponding":true,"raw_author_name":"Immacolata Oliva","raw_affiliation_strings":["Department of Methods and Models for Territory, Economics and Finance, Sapienza Universit\u00e0 di Roma, Rome, Italy"],"raw_orcid":"https://orcid.org/0000-0002-6163-1207","affiliations":[{"raw_affiliation_string":"Department of Methods and Models for Territory, Economics and Finance, Sapienza Universit\u00e0 di Roma, Rome, Italy","institution_ids":["https://openalex.org/I861853513"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5035520315"],"corresponding_institution_ids":["https://openalex.org/I861853513"],"apc_list":{"value":2290,"currency":"EUR","value_usd":2890},"apc_paid":{"value":2290,"currency":"EUR","value_usd":2890},"fwci":0.0,"has_fulltext":true,"cited_by_count":0,"citation_normalized_percentile":{"value":0.26301119,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":"22","issue":"2","first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9986000061035156,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9986000061035156,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9921000003814697,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12137","display_name":"Economic theories and models","score":0.9871000051498413,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/jump-diffusion","display_name":"Jump diffusion","score":0.8168797492980957},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.692389726638794},{"id":"https://openalex.org/keywords/longevity-risk","display_name":"Longevity risk","score":0.5663923621177673},{"id":"https://openalex.org/keywords/jump","display_name":"Jump","score":0.5415951609611511},{"id":"https://openalex.org/keywords/longevity","display_name":"Longevity","score":0.5285367369651794},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.4880289137363434},{"id":"https://openalex.org/keywords/diffusion","display_name":"Diffusion","score":0.4877079427242279},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.45737600326538086},{"id":"https://openalex.org/keywords/portfolio-optimization","display_name":"Portfolio optimization","score":0.4243873059749603},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.37441110610961914},{"id":"https://openalex.org/keywords/mathematical-economics","display_name":"Mathematical economics","score":0.35706448554992676},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.3387892246246338},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.33536189794540405},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.31384044885635376},{"id":"https://openalex.org/keywords/pension","display_name":"Pension","score":0.14187714457511902},{"id":"https://openalex.org/keywords/medicine","display_name":"Medicine","score":0.14092451333999634},{"id":"https://openalex.org/keywords/physics","display_name":"Physics","score":0.13998514413833618},{"id":"https://openalex.org/keywords/thermodynamics","display_name":"Thermodynamics","score":0.11792165040969849},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.0907764732837677}],"concepts":[{"id":"https://openalex.org/C2779664328","wikidata":"https://www.wikidata.org/wiki/Q6311158","display_name":"Jump diffusion","level":3,"score":0.8168797492980957},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.692389726638794},{"id":"https://openalex.org/C2781386606","wikidata":"https://www.wikidata.org/wiki/Q6673769","display_name":"Longevity risk","level":3,"score":0.5663923621177673},{"id":"https://openalex.org/C2780695682","wikidata":"https://www.wikidata.org/wiki/Q4005959","display_name":"Jump","level":2,"score":0.5415951609611511},{"id":"https://openalex.org/C2776759703","wikidata":"https://www.wikidata.org/wiki/Q1066907","display_name":"Longevity","level":2,"score":0.5285367369651794},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.4880289137363434},{"id":"https://openalex.org/C69357855","wikidata":"https://www.wikidata.org/wiki/Q163214","display_name":"Diffusion","level":2,"score":0.4877079427242279},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.45737600326538086},{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.4243873059749603},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.37441110610961914},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.35706448554992676},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.3387892246246338},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.33536189794540405},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.31384044885635376},{"id":"https://openalex.org/C2780899237","wikidata":"https://www.wikidata.org/wiki/Q156223","display_name":"Pension","level":2,"score":0.14187714457511902},{"id":"https://openalex.org/C71924100","wikidata":"https://www.wikidata.org/wiki/Q11190","display_name":"Medicine","level":0,"score":0.14092451333999634},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.13998514413833618},{"id":"https://openalex.org/C97355855","wikidata":"https://www.wikidata.org/wiki/Q11473","display_name":"Thermodynamics","level":1,"score":0.11792165040969849},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.0907764732837677},{"id":"https://openalex.org/C74909509","wikidata":"https://www.wikidata.org/wiki/Q10387","display_name":"Gerontology","level":1,"score":0.0},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1007/s10287-025-00539-0","is_oa":true,"landing_page_url":"https://doi.org/10.1007/s10287-025-00539-0","pdf_url":"https://link.springer.com/content/pdf/10.1007/s10287-025-00539-0.pdf","source":{"id":"https://openalex.org/S28822639","display_name":"Computational Management Science","issn_l":"1619-697X","issn":["1619-697X","1619-6988"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Computational Management Science","raw_type":"journal-article"},{"id":"pmh:oai:iris.uniroma1.it:11573/1744557","is_oa":true,"landing_page_url":"https://hdl.handle.net/11573/1744557","pdf_url":null,"source":{"id":"https://openalex.org/S4377196107","display_name":"IRIS Research product catalog (Sapienza University of Rome)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":"other-oa","license_id":"https://openalex.org/licenses/other-oa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"info:eu-repo/semantics/article"}],"best_oa_location":{"id":"doi:10.1007/s10287-025-00539-0","is_oa":true,"landing_page_url":"https://doi.org/10.1007/s10287-025-00539-0","pdf_url":"https://link.springer.com/content/pdf/10.1007/s10287-025-00539-0.pdf","source":{"id":"https://openalex.org/S28822639","display_name":"Computational Management Science","issn_l":"1619-697X","issn":["1619-697X","1619-6988"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Computational Management Science","raw_type":"journal-article"},"sustainable_development_goals":[],"awards":[{"id":"https://openalex.org/G3524311108","display_name":null,"funder_award_id":"RM12117A88057364","funder_id":"https://openalex.org/F4320322510","funder_display_name":"Sapienza Universit\u00e0 di Roma"},{"id":"https://openalex.org/G6965052328","display_name":null,"funder_award_id":"AR124190686F14D7","funder_id":"https://openalex.org/F4320322510","funder_display_name":"Sapienza Universit\u00e0 di Roma"}],"funders":[{"id":"https://openalex.org/F4320322510","display_name":"Sapienza Universit\u00e0 di Roma","ror":"https://ror.org/02be6w209"}],"has_content":{"pdf":true,"grobid_xml":true},"content_urls":{"pdf":"https://content.openalex.org/works/W4413754776.pdf","grobid_xml":"https://content.openalex.org/works/W4413754776.grobid-xml"},"referenced_works_count":37,"referenced_works":["https://openalex.org/W1972115786","https://openalex.org/W1975765664","https://openalex.org/W1985293924","https://openalex.org/W1987138201","https://openalex.org/W2018240140","https://openalex.org/W2047915298","https://openalex.org/W2058789039","https://openalex.org/W2061537034","https://openalex.org/W2063750298","https://openalex.org/W2064561530","https://openalex.org/W2067978582","https://openalex.org/W2084554488","https://openalex.org/W2084889689","https://openalex.org/W2086101105","https://openalex.org/W2133334225","https://openalex.org/W2138427172","https://openalex.org/W2144526740","https://openalex.org/W2163191305","https://openalex.org/W2531424830","https://openalex.org/W2806568750","https://openalex.org/W2890661232","https://openalex.org/W2940833762","https://openalex.org/W3043617920","https://openalex.org/W3121732168","https://openalex.org/W3121923687","https://openalex.org/W3122403455","https://openalex.org/W3122817125","https://openalex.org/W3123804843","https://openalex.org/W3124317869","https://openalex.org/W3124675891","https://openalex.org/W3198715702","https://openalex.org/W4205878814","https://openalex.org/W4285523746","https://openalex.org/W4313887284","https://openalex.org/W4322764203","https://openalex.org/W4403526102","https://openalex.org/W4404934439"],"related_works":["https://openalex.org/W2153136625","https://openalex.org/W2048248695","https://openalex.org/W4250406916","https://openalex.org/W3023030581","https://openalex.org/W2386382978","https://openalex.org/W1577186416","https://openalex.org/W2388370556","https://openalex.org/W2648988829","https://openalex.org/W4312224231","https://openalex.org/W2507439616"],"abstract_inverted_index":{"Abstract":[0],"In":[1,57],"the":[2,7,27,42,50,59,63,68,75,90,115,120,124,132,145,151],"present":[3],"paper,":[4],"we":[5,88],"provide":[6],"solution":[8],"to":[9,73,114,143],"an":[10,16,136],"optimal":[11],"portfolio":[12],"choice":[13],"problem":[14,118],"for":[15],"investment":[17,25,43],"strategy":[18],"endowed":[19],"with":[20,119],"a":[21,36,93,96,101],"specific":[22],"class":[23],"of":[24,39,65,70,77,122,127,147,153],"mechanism,":[26],"so":[28],"called":[29],"Target-Date":[30],"funds.":[31],"The":[32],"proposal":[33],"must":[34],"ensure":[35],"minimum":[37],"level":[38],"gain":[40],"from":[41],"at":[44],"maturity":[45],"and":[46,55,85,100,110,150],"hypothesizes":[47],"uncertainty":[48],"in":[49,67],"interest":[51],"rate,":[52,54],"contribution":[53],"mortality.":[56],"addition,":[58],"financial":[60],"setting":[61],"assumes":[62],"presence":[64],"discontinuities":[66],"dynamics":[69],"risky":[71],"assets":[72],"reflect":[74],"occurrence":[76],"market":[78,91,148],"crashes.":[79],"To":[80],"hedge":[81],"against":[82],"investment,":[83],"longevity,":[84],"event":[86],"risks,":[87],"complete":[89,131],"using":[92],"zero-coupon":[94,98],"bond,":[95,99],"longevity":[97],"derivative,":[102],"respectively.":[103],"We":[104,130],"apply":[105],"standard":[106],"dynamic":[107],"programming":[108],"techniques":[109],"obtain":[111],"closed-form":[112],"solutions":[113],"stochastic":[116],"control":[117],"objective":[121],"maximizing":[123],"expected":[125],"utility":[126],"terminal":[128],"cushion.":[129],"picture":[133],"by":[134],"performing":[135],"extensive":[137],"numerical":[138],"analysis":[139],"on":[140],"real":[141],"data,":[142],"measure":[144],"impact":[146],"crashes":[149],"effect":[152],"hedging":[154],"tools.":[155]},"counts_by_year":[],"updated_date":"2026-06-13T06:13:01.061226","created_date":"2025-10-10T00:00:00"}
