A BSDE approach to risk-based asset allocation of pension funds with regime switching (Q1945100)
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scientific article; zbMATH DE number 6149339
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A BSDE approach to risk-based asset allocation of pension funds with regime switching |
scientific article; zbMATH DE number 6149339 |
Statements
A BSDE approach to risk-based asset allocation of pension funds with regime switching (English)
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2 April 2013
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DC pension fund
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backward stochastic differential equation
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hidden Markov chain
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convex risk measure
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stochastic differential game
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Merton ratio
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