{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,1,9]],"date-time":"2026-01-09T00:05:16Z","timestamp":1767917116347,"version":"3.49.0"},"reference-count":51,"publisher":"Springer Science and Business Media LLC","issue":"1-2","license":[{"start":{"date-parts":[[2016,12,19]],"date-time":"2016-12-19T00:00:00Z","timestamp":1482105600000},"content-version":"unspecified","delay-in-days":0,"URL":"http:\/\/www.springer.com\/tdm"}],"funder":[{"DOI":"10.13039\/501100001824","name":"Czech Science Foundation","doi-asserted-by":"publisher","award":["15-02938S"],"award-info":[{"award-number":["15-02938S"]}],"id":[{"id":"10.13039\/501100001824","id-type":"DOI","asserted-by":"publisher"}]},{"DOI":"10.13039\/501100003407","name":"MIUR","doi-asserted-by":"crossref","award":["MIUR-ex60% 2014 - 2016"],"award-info":[{"award-number":["MIUR-ex60% 2014 - 2016"]}],"id":[{"id":"10.13039\/501100003407","id-type":"DOI","asserted-by":"crossref"}]}],"content-domain":{"domain":["link.springer.com"],"crossmark-restriction":false},"short-container-title":["Ann Oper Res"],"published-print":{"date-parts":[[2018,1]]},"DOI":"10.1007\/s10479-016-2387-x","type":"journal-article","created":{"date-parts":[[2016,12,19]],"date-time":"2016-12-19T03:16:26Z","timestamp":1482117386000},"page":"255-291","update-policy":"https:\/\/doi.org\/10.1007\/springer_crossmark_policy","source":"Crossref","is-referenced-by-count":38,"title":["Individual optimal pension allocation under stochastic dominance constraints"],"prefix":"10.1007","volume":"260","author":[{"given":"Milo\u0161","family":"Kopa","sequence":"first","affiliation":[]},{"given":"Vittorio","family":"Moriggia","sequence":"additional","affiliation":[]},{"given":"Sebastiano","family":"Vitali","sequence":"additional","affiliation":[]}],"member":"297","published-online":{"date-parts":[[2016,12,19]]},"reference":[{"key":"2387_CR1","unstructured":"Berger, A. J., & Mulvey, J. M. (1998). The home account advisor: Asset and liability management for individual investors (pp. 634\u2013665). Cambridge: Cambridge University Press."},{"key":"2387_CR2","doi-asserted-by":"crossref","DOI":"10.1002\/9781118266380","volume-title":"Optimizing the aging, retirement, and pensions dilemma","author":"M Bertocchi","year":"2010","unstructured":"Bertocchi, M., Schwartz, S. L., & Ziemba, W. T. (2010). Optimizing the aging, retirement, and pensions dilemma. Hoboken: Wiley."},{"issue":"4","key":"2387_CR3","doi-asserted-by":"crossref","first-page":"52","DOI":"10.2469\/faj.v47.n4.52","volume":"47","author":"F Black","year":"1991","unstructured":"Black, F., & Karasinski, P. (1991). Bond and option pricing when short rates are lognormal. Financial Analysts Journal, 47(4), 52\u201359.","journal-title":"Financial Analysts Journal"},{"issue":"1","key":"2387_CR4","doi-asserted-by":"crossref","first-page":"33","DOI":"10.2469\/faj.v46.n1.33","volume":"46","author":"F Black","year":"1990","unstructured":"Black, F., Derman, E., & Toy, W. (1990). A one-factor model of interest rates and its application to treasury bond options. Financial Analysts Journal, 46(1), 33\u201339.","journal-title":"Financial Analysts Journal"},{"issue":"1","key":"2387_CR5","doi-asserted-by":"crossref","first-page":"195","DOI":"10.1016\/j.jedc.2012.08.001","volume":"37","author":"D Blake","year":"2013","unstructured":"Blake, D., Wright, D., & Zhang, Y. (2013). Target-driven investing: Optimal investment strategies in defined contribution pension plans under loss aversion. Journal of Economic Dynamics and Control, 37(1), 195\u2013209.","journal-title":"Journal of Economic Dynamics and Control"},{"key":"2387_CR6","doi-asserted-by":"crossref","first-page":"285","DOI":"10.1016\/j.orl.2016.02.007","volume":"44","author":"M Branda","year":"2016","unstructured":"Branda, M., & Kopa, M. (2016). Dea models equivalent to general n-th order stochastic dominance efficiency tests. Operations Research Letters, 44, 285\u2013289.","journal-title":"Operations Research Letters"},{"issue":"2","key":"2387_CR7","doi-asserted-by":"crossref","first-page":"10","DOI":"10.3905\/jwm.2003.320479","volume":"6","author":"JLP Brunel","year":"2003","unstructured":"Brunel, J. L. P. (2003). Revisiting the asset allocation challenge through a behavioral finance lens. The Journal of Wealth Management, 6(2), 10\u201320.","journal-title":"The Journal of Wealth Management"},{"issue":"3","key":"2387_CR8","doi-asserted-by":"crossref","first-page":"900","DOI":"10.1016\/j.econmod.2011.11.013","volume":"29","author":"J Cai","year":"2012","unstructured":"Cai, J., & Ge, C. (2012). Multi-objective private wealth allocation without subportfolios. Economic Modelling, 29(3), 900\u2013907.","journal-title":"Economic Modelling"},{"issue":"4","key":"2387_CR9","doi-asserted-by":"crossref","first-page":"8","DOI":"10.3905\/jwm.2005.470606","volume":"7","author":"AB Chhabra","year":"2005","unstructured":"Chhabra, A. B. (2005). Beyond Markowitz: A comprehensive wealth allocation framework for individual investors. The Journal of Wealth Management, 7(4), 8\u201334.","journal-title":"The Journal of Wealth Management"},{"key":"2387_CR10","first-page":"752","volume-title":"Handbook of asset and liability management: Applications and case studies","author":"G Consigli","year":"2007","unstructured":"Consigli, G. (2007). Individual asset liability management for individual investors. In S. A. Zenios & W. T. Ziemba (Eds.), Handbook of asset and liability management: Applications and case studies (pp. 752\u2013827). North-Holland Finance Handbook Series: Elsevier."},{"issue":"4","key":"2387_CR11","doi-asserted-by":"crossref","first-page":"365","DOI":"10.1093\/imaman\/dps019","volume":"23","author":"G Consigli","year":"2012","unstructured":"Consigli, G., Iaquinta, G., Moriggia, V., di Tria, M., & Musitelli, D. (2012). Retirement planning in individual asset-liability management. IMA Journal of Management Mathematics, 23(4), 365\u2013396.","journal-title":"IMA Journal of Management Mathematics"},{"key":"2387_CR12","doi-asserted-by":"crossref","unstructured":"Consiglio, A., Cocco, F., & Zenios, S. A. (2004). www.Personal_Asset_Allocation. Interfaces, 34(4), 287\u2013302.","DOI":"10.1287\/inte.1040.0087"},{"issue":"1","key":"2387_CR13","doi-asserted-by":"crossref","first-page":"167","DOI":"10.1007\/s10479-006-0133-5","volume":"152","author":"A Consiglio","year":"2007","unstructured":"Consiglio, A., Cocco, F., & Zenios, S. A. (2007). Scenario optimization asset and liability modelling for individual investors. Annals of Operations Research, 152(1), 167\u2013191.","journal-title":"Annals of Operations Research"},{"key":"2387_CR14","doi-asserted-by":"crossref","unstructured":"Cox, J. C., Ingersoll,\u00a0 J. E. Jr., & Ross, S. A. (1985). A theory of the term structure of interest rates. Econometrica: Journal of the Econometric Society, 53(2), 385\u2013408.","DOI":"10.2307\/1911242"},{"issue":"5","key":"2387_CR15","doi-asserted-by":"crossref","first-page":"1915","DOI":"10.1093\/rfs\/hhm075","volume":"22","author":"V DeMiguel","year":"2009","unstructured":"DeMiguel, V., Garlappi, L., & Uppal, R. (2009). Optimal versus naive diversification: How inefficient is the 1\/n portfolio strategy? Review of Financial Studies, 22(5), 1915\u20131953.","journal-title":"Review of Financial Studies"},{"issue":"2","key":"2387_CR16","doi-asserted-by":"crossref","first-page":"548","DOI":"10.1137\/S1052623402420528","volume":"14","author":"D Dentcheva","year":"2003","unstructured":"Dentcheva, D., & Ruszczynski, A. (2003). Optimization with stochastic dominance constraints. SIAM Journal on Optimization, 14(2), 548\u2013566.","journal-title":"SIAM Journal on Optimization"},{"issue":"5\u20136","key":"2387_CR17","doi-asserted-by":"crossref","first-page":"583","DOI":"10.1080\/02331930412331327148","volume":"53","author":"D Dentcheva","year":"2004","unstructured":"Dentcheva, D., & Ruszczy\u0144ski, A. (2004). Semi-infinite probabilistic optimization: first-order stochastic dominance constrain. Optimization, 53(5\u20136), 583\u2013601.","journal-title":"Optimization"},{"key":"2387_CR18","doi-asserted-by":"crossref","first-page":"85","DOI":"10.1007\/s10107-009-0321-6","volume":"123","author":"D Dentcheva","year":"2010","unstructured":"Dentcheva, D., & Ruszczynski, A. (2010). Robust stochastic dominance and its application to risk-averse optimization. Mathematical Programming, Series B, 123, 85\u2013100.","journal-title":"Mathematical Programming, Series B"},{"issue":"1","key":"2387_CR19","doi-asserted-by":"crossref","first-page":"55","DOI":"10.1007\/s10479-010-0824-9","volume":"200","author":"J Dupa\u010dov\u00e1","year":"2012","unstructured":"Dupa\u010dov\u00e1, J., & Kopa, M. (2012). Robustness in stochastic programs with risk constraints. Annals of Operations Research, 200(1), 55\u201374.","journal-title":"Annals of Operations Research"},{"issue":"2","key":"2387_CR20","doi-asserted-by":"crossref","first-page":"434","DOI":"10.1016\/j.ejor.2013.06.018","volume":"234","author":"J Dupa\u010dov\u00e1","year":"2014","unstructured":"Dupa\u010dov\u00e1, J., & Kopa, M. (2014). Robustness of optimal portfolios under risk and stochastic dominance constraints. European Journal of Operational Research, 234(2), 434\u2013441.","journal-title":"European Journal of Operational Research"},{"key":"2387_CR21","unstructured":"Dupa\u010dov\u00e1, J., Hurt, J., & \u0160t\u011bp\u00e1n, J. (2002). Stochastic modeling in economics and finance. Applied optimization. (Vol.75) New York: Kluwer."},{"issue":"1","key":"2387_CR22","doi-asserted-by":"crossref","first-page":"164","DOI":"10.1016\/j.ejor.2015.03.050","volume":"249","author":"LF Escudero","year":"2016","unstructured":"Escudero, L. F., Gar\u00edn, M. A., Merinoc, M., & P\u00e9rez, G. (2016). On timse stochastic dominance induced by mixed integer-linear recourse in multistage stochastic programs. European Journal of Operational Research, 249(1), 164\u2013176.","journal-title":"European Journal of Operational Research"},{"issue":"2","key":"2387_CR23","first-page":"321","volume":"35","author":"R Gerrard","year":"2004","unstructured":"Gerrard, R., Haberman, S., & Vigna, E. (2004). Optimal investment choices post-retirement in a defined contribution pension scheme. Insurance: Mathematics and Economics, 35(2), 321\u2013342.","journal-title":"Insurance: Mathematics and Economics"},{"issue":"1","key":"2387_CR24","doi-asserted-by":"crossref","first-page":"84","DOI":"10.1080\/10920277.2006.10596241","volume":"10","author":"R Gerrard","year":"2006","unstructured":"Gerrard, R., Haberman, S., & Vigna, E. (2006). The management of decumulation risks in a defined contribution pension plan. North American Actuarial Journal, 10(1), 84\u2013110.","journal-title":"North American Actuarial Journal"},{"issue":"7","key":"2387_CR25","doi-asserted-by":"crossref","first-page":"1143","DOI":"10.1080\/14697680903358248","volume":"12","author":"R Gerrard","year":"2012","unstructured":"Gerrard, R., H\u00f8jgaard, B., & Vigna, E. (2012). Choosing the optimal annuitization time post-retirement. Quantitative Finance, 12(7), 1143\u20131159.","journal-title":"Quantitative Finance"},{"key":"2387_CR26","first-page":"25","volume":"59","author":"J Hadar","year":"1969","unstructured":"Hadar, J., & Russell, W. R. (1969). Rules for ordering uncertain prospects. The American Economic Review, 59, 25\u201334.","journal-title":"The American Economic Review"},{"issue":"3","key":"2387_CR27","doi-asserted-by":"crossref","first-page":"335","DOI":"10.2307\/2296431","volume":"36","author":"G Hanoch","year":"1969","unstructured":"Hanoch, G., & Levy, H. (1969). The efficiency analysis of choices involving risk. The Review of Economic Studies, 36(3), 335\u2013346.","journal-title":"The Review of Economic Studies"},{"issue":"5","key":"2387_CR28","doi-asserted-by":"crossref","first-page":"1011","DOI":"10.1111\/j.1540-6261.1986.tb02528.x","volume":"41","author":"TS Ho","year":"1986","unstructured":"Ho, T. S., & Lee, S. B. (1986). Term structure movements and pricing interest rate contingent claims. The Journal of Finance, 41(5), 1011\u20131029.","journal-title":"The Journal of Finance"},{"issue":"4","key":"2387_CR29","doi-asserted-by":"crossref","first-page":"1019","DOI":"10.1111\/j.1539-6975.2008.00295.x","volume":"75","author":"WJ Horneff","year":"2008","unstructured":"Horneff, W. J., Maurer, R. H., & Stamos, M. Z. (2008). Optimal gradual annuitization: Quantifying the costs of switching to annuities. Journal of Risk and Insurance, 75(4), 1019\u20131038.","journal-title":"Journal of Risk and Insurance"},{"issue":"4","key":"2387_CR30","doi-asserted-by":"crossref","first-page":"573","DOI":"10.1093\/rfs\/3.4.573","volume":"3","author":"J Hull","year":"1990","unstructured":"Hull, J., & White, A. (1990). Pricing interest-rate-derivative securities. Review of Financial Studies, 3(4), 573\u2013592.","journal-title":"Review of Financial Studies"},{"key":"2387_CR31","doi-asserted-by":"crossref","unstructured":"Kahneman, D. & Tversky, A. (1979). Prospect theory: An analysis of decision under risk. Econometrica: Journal of the Econometric Society, 47(2), 263\u2013291.","DOI":"10.2307\/1914185"},{"issue":"1","key":"2387_CR32","doi-asserted-by":"crossref","first-page":"261","DOI":"10.1007\/s10479-008-0405-3","volume":"166","author":"S Kilianov\u00e1","year":"2009","unstructured":"Kilianov\u00e1, S., & Pflug, G. C. (2009). Optimal pension fund management under multi-period risk minimization. Annals of Operations Research, 166(1), 261\u2013270.","journal-title":"Annals of Operations Research"},{"issue":"3","key":"2387_CR33","first-page":"488","volume":"46","author":"M Kopa","year":"2010","unstructured":"Kopa, M. (2010). Measuring of second-order stochastic dominance portfolio efficiency. Kybernetika, 46(3), 488\u2013500.","journal-title":"Kybernetika"},{"issue":"3","key":"2387_CR34","doi-asserted-by":"crossref","first-page":"703","DOI":"10.1007\/s00291-014-0373-8","volume":"37","author":"M Kopa","year":"2015","unstructured":"Kopa, M., & Post, T. (2015). A general test for ssd portfolio efficiency. OR Spectrum, 37(3), 703\u2013734.","journal-title":"OR Spectrum"},{"issue":"10","key":"2387_CR35","doi-asserted-by":"crossref","first-page":"1390","DOI":"10.1287\/mnsc.1040.0284","volume":"50","author":"T Kuosmanen","year":"2004","unstructured":"Kuosmanen, T. (2004). Efficient diversification according to stochastic dominance criteria. Management Science, 50(10), 1390\u20131406.","journal-title":"Management Science"},{"key":"2387_CR36","doi-asserted-by":"crossref","DOI":"10.1007\/978-3-319-21708-6","volume-title":"Stochastic dominance, investment decision making under uncertainty","author":"H Levy","year":"2016","unstructured":"Levy, H. (2016). Stochastic dominance, investment decision making under uncertainty (3rd ed.). New York: Sprigner.","edition":"3"},{"issue":"3","key":"2387_CR37","doi-asserted-by":"crossref","first-page":"1433","DOI":"10.1137\/070707956","volume":"19","author":"J Luedtke","year":"2008","unstructured":"Luedtke, J. (2008). New formulations for optimization under stochastic dominance constraints. SIAM Journal on Optimization, 19(3), 1433\u20131450.","journal-title":"SIAM Journal on Optimization"},{"issue":"6","key":"2387_CR38","doi-asserted-by":"crossref","first-page":"547","DOI":"10.1080\/14697680802402691","volume":"8","author":"EA Medova","year":"2008","unstructured":"Medova, E. A., Murphy, J. K., Owen, A. P., & Rehman, K. (2008). Individual asset liability management. Quantitative Finance, 8(6), 547\u2013560.","journal-title":"Quantitative Finance"},{"key":"2387_CR39","doi-asserted-by":"crossref","unstructured":"Merton, R. C. (1969). Lifetime portfolio selection under uncertainty: The continuous-time case. The Review of Economics and Statistics, 51(3), 247\u2013257.","DOI":"10.2307\/1926560"},{"issue":"4","key":"2387_CR40","doi-asserted-by":"crossref","first-page":"373","DOI":"10.1016\/0022-0531(71)90038-X","volume":"3","author":"RC Merton","year":"1971","unstructured":"Merton, R. C. (1971). Optimum consumption and portfolio rules in a continuous-time model. Journal of Economic Theory, 3(4), 373\u2013413.","journal-title":"Journal of Economic Theory"},{"issue":"9","key":"2387_CR41","doi-asserted-by":"crossref","first-page":"3138","DOI":"10.1016\/j.jedc.2006.11.003","volume":"31","author":"MA Milevsky","year":"2007","unstructured":"Milevsky, M. A., & Young, V. R. (2007). Annuitization and asset allocation. Journal of Economic Dynamics and Control, 31(9), 3138\u20133177.","journal-title":"Journal of Economic Dynamics and Control"},{"issue":"2","key":"2387_CR42","doi-asserted-by":"crossref","first-page":"321","DOI":"10.1016\/j.ejor.2013.04.015","volume":"230","author":"T Post","year":"2013","unstructured":"Post, T., & Kopa, M. (2013). General linear formulations of stochastic dominance criteria. European Journal of Operational Research, 230(2), 321\u2013332.","journal-title":"European Journal of Operational Research"},{"key":"2387_CR43","doi-asserted-by":"crossref","unstructured":"Post, T., & Kopa, M. (2016). Portfolio choice based on third-degree stochastic dominance. Forthcoming in Management Science, 3(4), 373\u2013413.","DOI":"10.2139\/ssrn.2687104"},{"issue":"7","key":"2387_CR44","doi-asserted-by":"crossref","first-page":"1615","DOI":"10.1287\/mnsc.2014.1960","volume":"61","author":"T Post","year":"2015","unstructured":"Post, T., Fang, Y., & Kopa, M. (2015). Linear tests for dara stochastic dominance. Management Science, 61(7), 1615\u20131629.","journal-title":"Management Science"},{"key":"2387_CR45","doi-asserted-by":"crossref","first-page":"140","DOI":"10.2307\/2295819","volume":"29","author":"JP Quirk","year":"1962","unstructured":"Quirk, J. P., & Saposnik, R. (1962). Admissibility and measurable utility functions. The Review of Economic Studies, 29, 140\u2013146.","journal-title":"The Review of Economic Studies"},{"issue":"1","key":"2387_CR46","doi-asserted-by":"crossref","first-page":"11","DOI":"10.2307\/2979016","volume":"15","author":"RJ Rendleman","year":"1980","unstructured":"Rendleman, R. J., & Bartter, B. J. (1980). The pricing of options on debt securities. Journal of Financial and Quantitative Analysis, 15(1), 11\u201324.","journal-title":"Journal of Financial and Quantitative Analysis"},{"issue":"2","key":"2387_CR47","doi-asserted-by":"crossref","first-page":"187","DOI":"10.1016\/0304-405X(75)90004-5","volume":"2","author":"SF Richard","year":"1975","unstructured":"Richard, S. F. (1975). Optimal consumption, portfolio and life insurance rules for an uncertain lived individual in a continuous time model. Journal of Financial Economics, 2(2), 187\u2013203.","journal-title":"Journal of Financial Economics"},{"key":"2387_CR48","doi-asserted-by":"crossref","first-page":"21","DOI":"10.21314\/JOR.2000.038","volume":"2","author":"TR Rockafellar","year":"2000","unstructured":"Rockafellar, T. R., & Uryasev, S. (2000). Optimization of conditional value-at-risk. Journal of Risk, 2, 21\u201342.","journal-title":"Journal of Risk"},{"issue":"7","key":"2387_CR49","doi-asserted-by":"crossref","first-page":"1443","DOI":"10.1016\/S0378-4266(02)00271-6","volume":"26","author":"TR Rockafellar","year":"2002","unstructured":"Rockafellar, T. R., & Uryasev, S. (2002). Conditional value-at-risk for general loss distributions. Journal of Banking & Finance, 26(7), 1443\u20131471.","journal-title":"Journal of Banking & Finance"},{"issue":"2","key":"2387_CR50","doi-asserted-by":"crossref","first-page":"177","DOI":"10.1016\/0304-405X(77)90016-2","volume":"5","author":"O Vasicek","year":"1977","unstructured":"Vasicek, O. (1977). An equilibrium characterization of the term structure. Journal of Financial Economics, 5(2), 177\u2013188.","journal-title":"Journal of Financial Economics"},{"issue":"2","key":"2387_CR51","doi-asserted-by":"crossref","first-page":"73","DOI":"10.1057\/jam.2010.8","volume":"11","author":"X Yang","year":"2010","unstructured":"Yang, X., Gondzio, J., & Grothey, A. (2010). Asset liability management modelling with risk control by stochastic dominance. Journal of Asset Management, 11(2), 73\u201393.","journal-title":"Journal of Asset Management"}],"container-title":["Annals of Operations Research"],"original-title":[],"language":"en","link":[{"URL":"http:\/\/link.springer.com\/article\/10.1007\/s10479-016-2387-x\/fulltext.html","content-type":"text\/html","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s10479-016-2387-x.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s10479-016-2387-x.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,8,21]],"date-time":"2023-08-21T10:14:56Z","timestamp":1692612896000},"score":1,"resource":{"primary":{"URL":"http:\/\/link.springer.com\/10.1007\/s10479-016-2387-x"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2016,12,19]]},"references-count":51,"journal-issue":{"issue":"1-2","published-print":{"date-parts":[[2018,1]]}},"alternative-id":["2387"],"URL":"https:\/\/doi.org\/10.1007\/s10479-016-2387-x","relation":{},"ISSN":["0254-5330","1572-9338"],"issn-type":[{"value":"0254-5330","type":"print"},{"value":"1572-9338","type":"electronic"}],"subject":[],"published":{"date-parts":[[2016,12,19]]}}}