Katarzyna Romaniuk

Université de Paris 1 Panthéon-Sorbonne

17, rue de la Sorbonne

Paris, 75005

France

Xi'an Jiaotong-Liverpool University (XJTLU)

111 Renai Road, SIP

Suzhou, JiangSu province 215123

China

SCHOLARLY PAPERS

19

DOWNLOADS

872

SSRN CITATIONS
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Top 48,785

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1

CROSSREF CITATIONS

12

Scholarly Papers (19)

1.

The Optimal Alternative to the Delta Hedge in the Black and Scholes' (1973) World

Number of pages: 24 Posted: 23 May 2010 Last Revised: 27 May 2010
Katarzyna Romaniuk
Université de Paris 1 Panthéon-Sorbonne
Downloads 151 (229,850)

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Delta Hedge, Optimal Hedge, Optimal Portfolio, Optional Payoff, Stochastic Dynamic Programming

2.

The Optimal Investment Policy for the Pension Benefit Guaranty Corporation

Number of pages: 44 Posted: 16 Jun 2010 Last Revised: 14 Mar 2011
Katarzyna Romaniuk
Université de Paris 1 Panthéon-Sorbonne
Downloads 82 (353,101)
Citation 6

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Pension Benefit Guaranty Corporation, defined benefit pension funds, optimal portfolio, option hedging, asset-liability management, stochastic dynamic programming

3.

Taxation Effects on the Optimal Pension Fund Portfolio

Number of pages: 25 Posted: 23 May 2010 Last Revised: 03 Oct 2011
Katarzyna Romaniuk
Université de Paris 1 Panthéon-Sorbonne
Downloads 76 (368,948)

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taxation, pension funds, optimal asset allocation, risk-taking, stochastic dynamic programming

4.

Portfolio Restriction to Impose on Defined Benefit Pension Plans

Number of pages: 36 Posted: 19 Jan 2012 Last Revised: 14 Apr 2012
Katarzyna Romaniuk
Université de Paris 1 Panthéon-Sorbonne
Downloads 71 (383,285)

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defined benefit pension plan, distress, PBGC, regulation, portfolio restriction, liability hedge

5.

Pareto Improving Transition from a Pay-as-You-Go to a Fully Funded Pension System in a Model of Endogenous Growth: The Impact of Uncertainty

Number of pages: 30 Posted: 23 May 2010
Katarzyna Romaniuk
Université de Paris 1 Panthéon-Sorbonne
Downloads 69 (389,273)
Citation 1

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pensions, transition, endogenous growth, uncertainty, precautionary savings

6.

Optimal Corporate Investment and Financing Policies: A Simple Quantitative Rule in a Novel General Setting

Number of pages: 32 Posted: 17 Nov 2010 Last Revised: 08 Feb 2011
Katarzyna Romaniuk
Université de Paris 1 Panthéon-Sorbonne
Downloads 66 (398,518)
Citation 4

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optimal corporate investment and financing policies, optimal portfolio, speculation, hedging, stochastic dynamic programming

7.

Optimal Corporate Pension Policy for Defined Benefit Plans in the Presence of PBGC Insurance

Number of pages: 36 Posted: 09 Oct 2012
Katarzyna Romaniuk
Université de Paris 1 Panthéon-Sorbonne
Downloads 63 (408,252)

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optimal corporate pension policy, defined benefit pension plans, optimal portfolio, PBGC insurance, financial distress

8.

A Portfolio Approach to the Optimal Mix of Paygo and Funded Pension Systems

Number of pages: 30 Posted: 22 May 2010 Last Revised: 03 Oct 2011
Katarzyna Romaniuk
Université de Paris 1 Panthéon-Sorbonne
Downloads 58 (425,164)

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social security, unfunded and funded pension systems, optimal portfolio, diversifi…cation, stochastic dynamic programming

9.

A Financial Approach to Optimal Interest Rate Rules: Multiple Objectives and Asymmetries

Number of pages: 24 Posted: 29 Mar 2010
Katarzyna Romaniuk and Radu Vranceanu
Université de Paris 1 Panthéon-Sorbonne and ESSEC Business School
Downloads 50 (454,477)

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optimal interest rate rule, portfolio choice, stochastic dynamic programming, asset prices, options theory

10.

Optimal Corporate Pension Policy: A Unified Framework

Number of pages: 40 Posted: 04 Oct 2011 Last Revised: 11 Jun 2012
Katarzyna Romaniuk
Université de Paris 1 Panthéon-Sorbonne
Downloads 43 (483,499)

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optimal corporate pension policy, optimal defined benefit pension plan portfolio, stochastic dynamic programming, equityholders, participants, Pension Benefit Guaranty Corporation, financial distress

11.

Call-Option Compensation and the Manager's Intertemporal Risk-Taking Behavior

Number of pages: 15 Posted: 09 Oct 2012
Katarzyna Romaniuk
Université de Paris 1 Panthéon-Sorbonne
Downloads 42 (487,879)

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manager’'s compensation, call option, risk-taking, continuous-time modeling

12.

Does Surplus Sharing Increase Risk-Taking in a Corporate Defined Benefit Pension Plan?

Number of pages: 44 Posted: 09 Oct 2012 Last Revised: 07 Nov 2013
Katarzyna Romaniuk
Université de Paris 1 Panthéon-Sorbonne
Downloads 37 (510,625)

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defined benefit pension plan, surplus sharing, risk-taking, participants, equityholders

13.

Optimal Portfolio in Corporate Pension Plans: Risk Shifting and Risk Management

Number of pages: 33 Posted: 14 Feb 2018
Katarzyna Romaniuk
Université de Paris 1 Panthéon-Sorbonne
Downloads 29 (552,014)
Citation 1

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optimal corporate pension portfolio policy; defined benefit pension plans; PBGC insurance; financial distress; risk shifting; risk management

14.

The PBGC Premium and the Pension Plan's Risk-Taking: Should the PBGC Take the PPF As an Example?

Number of pages: 21 Posted: 14 Feb 2018
Katarzyna Romaniuk
Université de Paris 1 Panthéon-Sorbonne
Downloads 23 (589,067)
Citation 2

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pension insurance; premium; risk adjustment; moral hazard; risk-taking; PBGC; PPF

15.

The PBGC's Policy Levers and the Pension Plan's Risk-Taking: Should the Premium Be Economically Fair?

Number of pages: 19 Posted: 14 Feb 2018
Katarzyna Romaniuk
Université de Paris 1 Panthéon-Sorbonne
Downloads 12 (665,094)

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PBGC; policy levers; premium; risk-taking

16.

The Options Embedded within Pension Plans: Types, Valuation Principles and Effects on Optimal Investment Policies

Bankers, Markets & Investors, Forthcoming
Posted: 01 Jun 2010
Katarzyna Romaniuk
Université de Paris 1 Panthéon-Sorbonne

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Pension funds, Options, Asian exchange option, Monte Carlo simulation, Optimal portfolio, Hedging

17.

A New Approach for Modeling and Understanding Optimal Monetary Policy

Economics Letters, Vol. 100, No. 1, 2008
Posted: 01 Jun 2010
Katarzyna Romaniuk
Université de Paris 1 Panthéon-Sorbonne

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optimal monetary policy, portfolio choice, stochastic dynamic programming

18.

The Optimal Asset Allocation of the Main Types of Pension Funds: A Unified Framework

Geneva Risk and Insurance Review, Vol. 32, No. 2, 2007
Posted: 01 Jun 2010
Katarzyna Romaniuk
Université de Paris 1 Panthéon-Sorbonne

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pension funds, defined benefit, defined contribution, asset allocation, internal and external guarantees, stochastic dynamic programming, options theory

19.

What If the Fed Increased the Weight of the Stock Price Gap in its Reaction Function?

Journal of Policy Modeling, Vol. 28, No. 7, 2006
Posted: 01 Jun 2010
Katarzyna Romaniuk
Université de Paris 1 Panthéon-Sorbonne

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monetary policy, stock prices, wealth effect, macroeconomic and financial stability