Impulse control of pension fund contributions, in a regime switching economy
DOI10.1016/J.EJOR.2014.06.016zbMATH Open1339.91141OpenAlexW3123879748MaRDI QIDQ297413FDOQ297413
Authors: Donatien Hainaut 
Publication date: 27 June 2016
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2014.06.016
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Numerical methods (including Monte Carlo methods) (91G60) Portfolio theory (91G10) Dynamic programming in optimal control and differential games (49L20) Financial applications of other theories (91G80) Optimal stochastic control (93E20)
Cites Work
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- AMERICAN OPTIONS WITH REGIME SWITCHING
- Interest rate models -- theory and practice. With smile, inflation and credit
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- Continuous Auctions and Insider Trading
- A Regime-Switching Model of Long-Term Stock Returns
- Forecasting multifractal volatility
- Asset allocation under multivariate regime switching
- Optimal asset allocation for aggregated defined benefit pension funds with stochastic interest rates
- Portfolio optimisation with strictly positive transaction costs and impulse control
- Dynamic approaches to pension funding
- Some applications of impulse control in mathematical finance
- Mean-variance portfolio and contribution selection in stochastic pension funding
- Optimal pension funding dynamics over infinite control horizon when stochastic rates of return are stationary
- Optimal investment decisions with a liability: the case of defined benefit pension plans
- On the control of defined-benefit pension plans
- Some Notes on the Dynamics and Optimal Control of Stochastic Pension Fund Models in Continuous Time
- Strategic asset allocation with switching dependence
- Optimal risk management in defined benefit stochastic pension funds
- Stochastic pension fund control in the presence of Poisson jumps
Cited In (12)
- Optimal transition to renewable energy with threshold of irreversible pollution
- PRODUCT CHOICE UNDER GOVERNMENT REGULATION: THE CASE OF CHILE'S PRIVATIZED PENSION SYSTEM
- Stochastic impulse control with regime-switching dynamics
- A defined benefit pension plan game with Brownian and Poisson jumps uncertainty
- Strong versions of impulsive controllability and sampled observability
- Equilibrium strategies in a defined benefit pension plan game with regime switching
- Clustering financial time series: new insights from an extended hidden Markov model
- Valuation of annuity guarantees under a self-exciting switching jump model
- Portfolio optimization in a defined benefit pension plan where the risky assets are processes with constant elasticity of variance
- Management of online server congestion using optimal demand throttling
- Equilibrium strategies in a defined benefit pension plan game
- Controlling a demographic wave in defined contribution pension systems
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