Time consistent mean-variance asset allocation for a DC plan with regime switching under a jump-diffusion model (Q2070146)
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scientific article; zbMATH DE number 7461763
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Time consistent mean-variance asset allocation for a DC plan with regime switching under a jump-diffusion model |
scientific article; zbMATH DE number 7461763 |
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Time consistent mean-variance asset allocation for a DC plan with regime switching under a jump-diffusion model (English)
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21 January 2022
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DC pension plan
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mean-variance
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stochastic income
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regime-switching
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extended HJB
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mortality risks
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0.9041439
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0.88096106
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0.88034785
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0.87666595
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0.8759296
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0.87478673
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0.8730762
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