Optimal Defined Contribution Pension Management with Salary and Risky Assets Following Jump Diffusion Processes
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Publication:4986583
DOI10.4208/EAJAM.301218.170419zbMATH Open1466.91275OpenAlexW3000115226MaRDI QIDQ4986583FDOQ4986583
Publication date: 27 April 2021
Published in: East Asian Journal on Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.4208/eajam.301218.170419
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Cites Work
- Title not available (Why is that?)
- Stochastic pension funding when the benefit and the risky asset follow jump diffusion processes
- Some Notes on the Dynamics and Optimal Control of Stochastic Pension Fund Models in Continuous Time
- Mean-variance optimization problems for an accumulation phase in a defined benefit plan
- Towards a General Theory of Good-Deal Bounds*
- Portfolio optimization in a defined benefit pension plan where the risky assets are processes with constant elasticity of variance
- Pricing pension plans under jump-diffusion models for the salary
Cited In (5)
- Title not available (Why is that?)
- A defined benefit pension plan game with Brownian and Poisson jumps uncertainty
- Stochastic pension fund control in the presence of Poisson jumps
- Optimal investment strategy for the DC pension plan based on jump diffusion model and S-shaped utility
- Pricing pension plans under jump-diffusion models for the salary
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