Time-consistent investment strategy for a DC pension plan with hidden Markov regime switching
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Cites work
- A BSDE approach to risk-based asset allocation of pension funds with regime switching
- Asset allocation for a DC pension fund with stochastic income and mortality risk: a multi-period mean-variance framework
- Dynamic mean-variance problem for defined contribution pension fund under inflation
- Equilibrium investment strategy for a DC pension plan with learning about stock return predictability
- Equilibrium investment strategy for a defined contribution pension plan under stochastic interest rate and stochastic volatility
- Equilibrium investment strategy for defined-contribution pension schemes with generalized mean-variance criterion and mortality risk
- scientific article; zbMATH DE number 722978 (Why is no real title available?)
- scientific article; zbMATH DE number 919682 (Why is no real title available?)
- Markowitz's mean-variance asset-liability management with regime switching: a time-consistent approach
- Mean-variance efficiency of DC pension plan under stochastic interest rate and mean-reverting returns
- Mean-variance target-based optimisation for defined contribution pension schemes in a stochastic framework
- Numerical solution of stochastic differential equations with jumps in finance
- Optimal investment management for a defined contribution pension fund under imperfect information
- Optimal investment strategies in the presence of a minimum guarantee.
- Optimal management of DC pension plan in a stochastic interest rate and stochastic volatility framework
- Optimal portfolios with maximum value-at-risk constraint under a hidden Markovian regime-switching model
- Optimal trading strategy for an investor: the case of partial information
- Portfolio selection under incomplete information
- Precommitment and equilibrium investment strategies for defined contribution pension plans under a jump-diffusion model
- Robust optimal investment strategy for an AAM of DC pension plans with stochastic interest rate and stochastic volatility
- Time-consistent reinsurance and investment strategies for mean-variance insurer under partial information
Cited in
(9)- Optimal investment management for a defined contribution pension fund under imperfect information
- Equilibrium investment strategy for a DC pension plan with learning about stock return predictability
- Time-consistent investment strategies for a DC pension member with stochastic interest rate and stochastic income
- Time-consistent investment strategy for DC pension plan with stochastic salary under CEV model
- Optimal investment strategies for a defined contribution pension plan under a Markov-regime switching model
- Time consistent investment strategy of DC pension with premium return clause under partial information
- Optimal strategies for collective defined contribution plans when the stock and labor markets are co-integrated
- Bayesian adaptive portfolio optimization for DC pension plans
- Optimal investment strategy for DC pension with mean-weighted variance-CVaR criterion under partial information
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