Equilibrium investment strategy for a defined contribution pension plan under stochastic interest rate and stochastic volatility
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Publication:2292015
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- scientific article; zbMATH DE number 1200330 (Why is no real title available?)
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Cited in
(20)- Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility
- Computational analysis of the behavior of stochastic volatility models with financial applications
- Equilibrium investment strategy for a DC pension plan with learning about stock return predictability
- Optimal management of DC pension plan in a stochastic interest rate and stochastic volatility framework
- Equilibrium investment strategy for DC pension plan with inflation and stochastic income under Heston's SV model
- Equilibrium investment strategy for DC pension plan with default risk and return of premiums clauses under CEV model
- Management strategies for a defined contribution pension fund under the hybrid stochastic volatility model
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- Pension funds with longevity risk: an optimal portfolio insurance approach
- Time consistent investment strategy of DC pension with premium return clause under partial information
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