A simple numerical solution for an optimal investment strategy for a DC pension plan in a jump diffusion model
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Publication:2315816
DOI10.1016/j.cam.2019.03.043zbMath1419.49033OpenAlexW2940833762WikidataQ128062200 ScholiaQ128062200MaRDI QIDQ2315816
Publication date: 26 July 2019
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.2019.03.043
Hamilton-Jacobi-Bellman equationstochastic controlintegro-differential equationbisection methodjump diffusionDC pension plan
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Related Items (5)
Optimal dividends for regulated insurers with a nonlinear penalty ⋮ An optimal portfolio problem of DC pension with input-delay and jump-diffusion process ⋮ Indifference pricing under SAHARA utility ⋮ Time-consistent equilibrium reinsurance-investment strategy for \(n\) competitive insurers under a new interaction mechanism and a general investment framework ⋮ Optimal management of DC pension fund under the relative performance ratio and VaR constraint
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