Optimal pension fund management in a jump-diffusion environment: theoretical and empirical studies
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Cites work
- scientific article; zbMATH DE number 7696270 (Why is no real title available?)
- scientific article; zbMATH DE number 7696320 (Why is no real title available?)
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- Pension funds with a minimum guarantee: a stochastic control approach
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- Portfolio problems based on jump-diffusion models
- Some Notes on the Dynamics and Optimal Control of Stochastic Pension Fund Models in Continuous Time
- Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans
- Stochastic optimal control of DC pension funds
- Stochastic optimal control of annuity contracts.
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
- scientific article; zbMATH DE number 6961272 (Why is no real title available?)
- 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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