Time consistent mean-variance asset allocation for a DC plan with regime switching under a jump-diffusion model
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Publication:2070146
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Cites work
- A pension fund in the accumulation phase: a stochastic control approach
- A theory of Markovian time-inconsistent stochastic control in discrete time
- Asset allocation under loss aversion and minimum performance constraint in a DC pension plan with inflation risk
- Dynamic programming for a Markov-switching jump-diffusion
- Equilibrium for a time-inconsistent stochastic linear-quadratic control system with jumps and its application to the mean-variance problem
- Lifetime investment and consumption using a defined-contribution pension scheme
- Markov Chains
- Markowitz's mean-variance asset-liability management with regime switching: a continuous-time model
- Markowitz's mean-variance asset-liability management with regime switching: a time-consistent approach
- Mean-variance portfolio optimization with state-dependent risk aversion
- Open-loop equilibrium strategy for mean-variance portfolio problem under stochastic volatility
- Optimal investment for a defined-contribution pension scheme under a regime switching model
- Optimal investment strategy for the DC plan with the return of premiums clauses in a mean-variance framework
- Optimal pension management in a stochastic framework.
- Optimal policy for a time consistent mean-variance model with regime switching
- Pension funds with a minimum guarantee: a stochastic control approach
- Pre-commitment and equilibrium investment strategies for the DC pension plan with regime switching and a return of premiums clause
- Precommitment and equilibrium investment strategies for defined contribution pension plans under a jump-diffusion model
- Robust portfolio choice for a defined contribution pension plan with stochastic income and interest rate
- Time-consistent investment strategy for DC pension plan with stochastic salary under CEV model
- Time-consistent mean-variance pairs-trading under regime-switching cointegration
- Time-consistent mean-variance portfolio selection in discrete and continuous time
- Time-inconsistent stochastic linear-quadratic control
- Time-inconsistent stochastic linear-quadratic control: characterization and uniqueness of equilibrium
Cited in
(4)- Precommitment and equilibrium investment strategies for defined contribution pension plans under a jump-diffusion model
- Optimal dynamic asset allocation for DC plan accumulation/decumulation: ambition-CVaR
- Time-consistent investment strategy for a DC pension plan with hidden Markov regime switching
- An optimal portfolio problem of DC pension with input-delay and jump-diffusion process
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