Impulse control of pension fund contributions, in a regime switching economy (Q297413): Difference between revisions

@@ Property / Mathematics Subject Classification ID @@
+G80
@@ Property / Mathematics Subject Classification ID: 91G80 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+B30
@@ Property / Mathematics Subject Classification ID: 91B30 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+E20
@@ Property / Mathematics Subject Classification ID: 93E20 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+L20
@@ Property / Mathematics Subject Classification ID: 49L20 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G10
@@ Property / Mathematics Subject Classification ID: 91G10 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G60
@@ Property / Mathematics Subject Classification ID: 91G60 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6598332
@@ Property / zbMATH DE Number: 6598332 / rank @@
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@@ Property / zbMATH Keywords @@
+pension fund
@@ Property / zbMATH Keywords: pension fund / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+impulse control
@@ Property / zbMATH Keywords: impulse control / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+regime switching
@@ Property / zbMATH Keywords: regime switching / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+transaction costs
@@ Property / zbMATH Keywords: transaction costs / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+liquidity risk
@@ Property / zbMATH Keywords: liquidity risk / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.ejor.2014.06.016
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@@ Property / OpenAlex ID @@
+W3123879748
@@ Property / OpenAlex ID: W3123879748 / rank @@
+Normal rank
@@ Property / cites work @@
+Interest rate models -- theory and practice. With smile, inflation and credit
+Normal rank
@@ Property / cites work @@
+AMERICAN OPTIONS WITH REGIME SWITCHING
@@ Property / cites work: AMERICAN OPTIONS WITH REGIME SWITCHING / rank @@
+Normal rank
@@ Property / cites work @@
+Some Notes on the Dynamics and Optimal Control of Stochastic Pension Fund Models in Continuous Time
+Normal rank
@@ Property / cites work @@
+Forecasting multifractal volatility
@@ Property / cites work: Forecasting multifractal volatility / rank @@
+Normal rank
@@ Property / cites work @@
+Asset allocation under multivariate regime switching
+Normal rank
@@ Property / cites work @@
+Dynamic approaches to pension funding
@@ Property / cites work: Dynamic approaches to pension funding / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal pension funding dynamics over infinite control horizon when stochastic rates of return are stationary
+Normal rank
@@ Property / cites work @@
+Strategic asset allocation with switching dependence
+Normal rank
@@ Property / cites work @@
+A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
+Normal rank
@@ Property / cites work @@
+A Regime-Switching Model of Long-Term Stock Returns
+Normal rank
@@ Property / cites work @@
+On the control of defined-benefit pension plans
@@ Property / cites work: On the control of defined-benefit pension plans / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal risk management in defined benefit stochastic pension funds
+Normal rank
@@ Property / cites work @@
+Optimal investment decisions with a liability: the case of defined benefit pension plans
+Normal rank
@@ Property / cites work @@
+Mean-variance portfolio and contribution selection in stochastic pension funding
+Normal rank
@@ Property / cites work @@
+Optimal asset allocation for aggregated defined benefit pension funds with stochastic interest rates
+Normal rank
@@ Property / cites work @@
+Stochastic pension funding when the benefit and the risky asset follow jump diffusion processes
+Normal rank
@@ Property / cites work @@
+Portfolio optimisation with strictly positive transaction costs and impulse control
+Normal rank
@@ Property / cites work @@
+Some applications of impulse control in mathematical finance
+Normal rank
@@ Property / cites work @@
+Continuous Auctions and Insider Trading
@@ Property / cites work: Continuous Auctions and Insider Trading / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic pension fund control in the presence of Poisson jumps
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@@ links / mardi / name / links / mardi / name @@
+Publication:297413