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Asset allocation for a DC pension fund under regime switching environment · Study

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ArticleAsset allocation for a DC pension fund under regime switching environment

Ralf Korn2011

Article2011

Asset allocation for a DC pension fund under regime switching environment

Ralf Korn · Tak Kuen Siu · Aihua Zhang

44 citations·0/0 files stored·European Actuarial Journal

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Stochastic processes and financial applications Financial Literacy, Pension, Retirement Analysis Risk and Portfolio Optimization

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References

1986Stochastic Calculus and Applications.1983STOCHASTIC CALCULUS AND APPLICATIONS 1999Mathematics of Financial Markets 2001Information and option pricings 1997Optimal Portfolios 2005Mathematics of Financial Markets 1997Optimal Portfolios: Stochastic Models For Optimal Investment And Risk Management In Continuous Time 2010Bayesian Adaptive Portfolio Optimization

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2012A BSDE approach to risk-based asset allocation of pension funds with regime switching 2021Household consumption-investment-insurance decisions with uncertain income and market ambiguity 2019Robust portfolio choice for a DC pension plan with inflation risk and mean-reverting risk premium under ambiguity 2017Optimal mean–variance asset-liability management with stochastic interest rates and inflation risks 2018Pre-commitment and equilibrium investment strategies for the DC pension plan with regime switching and a return of premiums clause 2014

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Year2011

Typearticle

Published2011-06-08

VenueEuropean Actuarial Journal

ISSN-L2190-9733

Languageen

Citations44

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s13385-011-0021-5

openalex_workW2007668684

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OPTIMAL INVESTMENT FOR A DEFINED-CONTRIBUTION PENSION SCHEME UNDER A REGIME SWITCHING MODEL