Time consistent mean-variance asset allocation for a DC plan with regime switching under a jump-diffusion model
Author:
Publisher
Springer Science and Business Media LLC
Subject
Applied Mathematics,General Engineering
Link
https://link.springer.com/content/pdf/10.1007/s13160-021-00481-z.pdf
Reference28 articles.
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2. Azevedo, N., Pinheiro, D., Weber, G.W.: Dynamic programming for a Markov-switching jump-diffusion. J. Comput. Appl. Math. 267, 1–19 (2014)
3. Battocchio, P., Menoncin, F.: Optimal pension management in a stochastic framework. Insur. Math. Econ. 34(1), 79–95 (2004)
4. Bian, L., Li, Z., Yao, H.: Pre-commitment and equilibrium investment strategies for the DC pension plan with regime switching and a return of premiums clause. Insur. Math. Econ 81, 78–94 (2018)
5. Björk, T., Murgoci, A.: A general theory of Markovian time inconsistent Stochastic control problems. (2010) Available at SSRN: https://ssrn.com/abstract=1694759 or http://dx.doi.org/10.2139/ssrn.1694759
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2. Optimal Defined Contribution Pension Management with Jump Diffusions and Common Shock Dependence;Mathematics;2023-07-02
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