Optimal pension fund management in a jump-diffusion environment: theoretical and empirical studies
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Publication:1675952
DOI10.1016/J.CAM.2017.07.018zbMATH Open1415.91160OpenAlexW2747791209MaRDI QIDQ1675952FDOQ1675952
Authors: C. I. Nkeki 
Publication date: 3 November 2017
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2017.07.018
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Cites Work
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- Portfolio problems based on jump-diffusion models
- Title not available (Why is that?)
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Cited In (10)
- Optimal investment risks and debt management with backup security in a financial crisis
- A simple numerical solution for an optimal investment strategy for a DC pension plan in a jump diffusion model
- Optimal Defined Contribution Pension Management with Salary and Risky Assets Following Jump Diffusion Processes
- Title not available (Why is that?)
- Robust portfolio choice for a DC pension plan with inflation risk and mean-reverting risk premium under ambiguity
- Optimal DC pension management under inflation risk with jump diffusion price index and cost of living process
- Optimal investment in the presence of intangible assets and collateralized optimal debt ratio in jump-diffusion models
- Intertemporal surplus management with jump risks
- An optimal portfolio problem of DC pension with input-delay and jump-diffusion process
- Pricing pension plans under jump-diffusion models for the salary
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