Optimal pension fund management in a jump-diffusion environment: theoretical and empirical studies
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Publication:1675952
DOI10.1016/j.cam.2017.07.018zbMath1415.91160OpenAlexW2747791209MaRDI QIDQ1675952
Publication date: 3 November 2017
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.2017.07.018
Related Items (6)
Optimal DC pension management under inflation risk with jump diffusion price index and cost of living process ⋮ An optimal portfolio problem of DC pension with input-delay and jump-diffusion process ⋮ Robust portfolio choice for a DC pension plan with inflation risk and mean-reverting risk premium under ambiguity ⋮ Optimal investment risks and debt management with backup security in a financial crisis ⋮ Optimal investment in the presence of intangible assets and collateralized optimal debt ratio in jump-diffusion models ⋮ A simple numerical solution for an optimal investment strategy for a DC pension plan in a jump diffusion model
Uses Software
Cites Work
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