Funding and investment decisions in a stochastic defined benefit pension plan with regime switching (Q2393667): Difference between revisions

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-Shu-Min Chen
@@ Property / author: Shu-Min Chen / rank @@
-Normal rank
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+Shu-Min Chen
@@ Property / author: Shu-Min Chen / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
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@@ Property / full work available at URL @@
+https://doi.org/10.1007/s10986-013-9201-0
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+W1992060493
@@ Property / OpenAlex ID: W1992060493 / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans
+Normal rank
@@ Property / cites work @@
+Markowitz's mean-variance asset-liability management with regime switching: a continuous-time model
+Normal rank
@@ Property / cites work @@
+Financial Modelling with Jump Processes
@@ Property / cites work: Financial Modelling with Jump Processes / rank @@
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@@ Property / cites work @@
+Pension fund investments and the valuation of liabilities under conditional indexation
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@@ Property / cites work @@
+Portfolio risk minimization and differential games
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+Controlled Markov processes and viscosity solutions
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+Stochastic optimal control of DC pension funds
@@ Property / cites work: Stochastic optimal control of DC pension funds / rank @@
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+Optimal risk management in defined benefit stochastic pension funds
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+Optimal investment decisions with a liability: the case of defined benefit pension plans
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+Funding and investment decisions in a stochastic defined benefit pension plan with several levels of labor-income earnings
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+Stochastic pension funding when the benefit and the risky asset follow jump diffusion processes
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+Optimum consumption and portfolio rules in a continuous-time model
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+Option pricing when underlying stock returns are discontinuous
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+Stochastic differential equations. An introduction with applications.
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+Applied stochastic control of jump diffusions
@@ Property / cites work: Applied stochastic control of jump diffusions / rank @@
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@@ Property / cites work @@
+EXPLICIT SOLUTIONS OF CONSUMPTION-INVESTMENT PROBLEMS IN FINANCIAL MARKETS WITH REGIME SWITCHING
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@@ Property / cites work @@
+Markowitz's Mean-Variance Portfolio Selection With Regime Switching: From Discrete-Time Models to Their Continuous-Time Limits
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@@ links / mardi / name / links / mardi / name @@
+Publication:2393667