A BSDE approach to risk-based asset allocation of pension funds with regime switching (Q1945100): Difference between revisions
From MaRDI portal
Latest revision as of 08:30, 6 July 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | A BSDE approach to risk-based asset allocation of pension funds with regime switching |
scientific article |
Statements
A BSDE approach to risk-based asset allocation of pension funds with regime switching (English)
0 references
2 April 2013
0 references
DC pension fund
0 references
backward stochastic differential equation
0 references
hidden Markov chain
0 references
convex risk measure
0 references
stochastic differential game
0 references
Merton ratio
0 references
0 references