Optimal Defined Contribution Pension Management with Salary and Risky Assets Following Jump Diffusion Processes
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Cites work
- scientific article; zbMATH DE number 158461 (Why is no real title available?)
- Mean-variance optimization problems for an accumulation phase in a defined benefit plan
- 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
- Some Notes on the Dynamics and Optimal Control of Stochastic Pension Fund Models in Continuous Time
- Stochastic pension funding when the benefit and the risky asset follow jump diffusion processes
- Towards a General Theory of Good-Deal Bounds*
Cited in
(11)- Stochastic pension funding when the benefit and the risky asset follow jump diffusion processes
- Pricing pension plans under jump-diffusion models for the salary
- Optimal DC pension management under inflation risk with jump diffusion price index and cost of living process
- scientific article; zbMATH DE number 6961272 (Why is no real title available?)
- Optimal pension fund management in a jump-diffusion environment: theoretical and empirical studies
- An optimal portfolio problem of DC pension with input-delay and jump-diffusion process
- A simple numerical solution for an optimal investment strategy for a DC pension plan in a jump diffusion model
- Optimal investment for the defined-contribution pension with stochastic salary under a CEV model
- A defined benefit pension plan game with Brownian and Poisson jumps uncertainty
- Optimal investment strategy for the DC pension plan based on jump diffusion model and S-shaped utility
- Stochastic pension fund control in the presence of Poisson jumps
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