Time-consistent investment strategy for a DC pension plan with hidden Markov regime switching
DOI10.1016/J.CAM.2023.115058zbMATH Open1519.91220OpenAlexW4313829522MaRDI QIDQ6100577FDOQ6100577
Hao Zhou, Liuling Luo, Xingchun Peng
Publication date: 22 June 2023
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2023.115058
Markov processes: estimation; hidden Markov models (62M05) Actuarial mathematics (91G05) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Cites Work
- Title not available (Why is that?)
- Title not available (Why is that?)
- Optimal trading strategy for an investor: the case of partial information
- Numerical solution of stochastic differential equations with jumps in finance
- A BSDE approach to risk-based asset allocation of pension funds with regime switching
- Optimal management of DC pension plan in a stochastic interest rate and stochastic volatility framework
- Precommitment and equilibrium investment strategies for defined contribution pension plans under a jump-diffusion model
- Equilibrium investment strategy for defined-contribution pension schemes with generalized mean-variance criterion and mortality risk
- Optimal investment strategies in the presence of a minimum guarantee.
- Mean-variance efficiency of DC pension plan under stochastic interest rate and mean-reverting returns
- Markowitz's mean-variance asset-liability management with regime switching: a time-consistent approach
- Asset allocation for a DC pension fund with stochastic income and mortality risk: a multi-period mean-variance framework
- Optimal portfolios with maximum value-at-risk constraint under a hidden Markovian regime-switching model
- Equilibrium investment strategy for a defined contribution pension plan under stochastic interest rate and stochastic volatility
- Time-consistent reinsurance and investment strategies for mean-variance insurer under partial information
- Portfolio selection under incomplete information
- Robust optimal investment strategy for an AAM of DC pension plans with stochastic interest rate and stochastic volatility
- Mean-variance target-based optimisation for defined contribution pension schemes in a stochastic framework
- 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
- Dynamic mean-variance problem for defined contribution pension fund under inflation
Cited In (1)
This page was built for publication: Time-consistent investment strategy for a DC pension plan with hidden Markov regime switching
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6100577)
