A BSDE approach to risk-based asset allocation of pension funds with regime switching

DOI10.1007/s10479-012-1211-5zbMath1260.91233OpenAlexW1979066019MaRDI QIDQ1945100

Tak Kuen Siu

Publication date: 2 April 2013

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-012-1211-5

zbMATH Keywords

hidden Markov chainbackward stochastic differential equationstochastic differential gameconvex risk measureDC pension fundMerton ratio

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Differential games (aspects of game theory) (91A23) Financial applications of other theories (91G80) Stochastic games, stochastic differential games (91A15) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Resource and cost allocation (including fair division, apportionment, etc.) (91B32) Portfolio theory (91G10) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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