Time consistent mean-variance asset allocation for a DC plan with regime switching under a jump-diffusion model (Q2070146)
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scientific article; zbMATH DE number 7461763
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| English | Time consistent mean-variance asset allocation for a DC plan with regime switching under a jump-diffusion model |
scientific article; zbMATH DE number 7461763 |
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Time consistent mean-variance asset allocation for a DC plan with regime switching under a jump-diffusion model (English)
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21 January 2022
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DC pension plan
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mean-variance
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stochastic income
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regime-switching
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extended HJB
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mortality risks
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0.9041439
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0.8850073
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0.88096106
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0.88034785
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0.87777525
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0.87666595
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0.87478673
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