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Regime switching based portfolio selection for pension funds
16 references·1 citing·39 second hop
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References

  • 1952PORTFOLIO SELECTION*18,429 cited
  • 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
  • 2007Brownian Motion and Stochastic Calculus7,544 cited
  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 1952Portfolio Selection4,609 cited
  • 1996Modeling the conditional distribution of interest rates as a regime-switching process1,492 cited
  • 1995Predictable Risk and Returns in Emerging Markets1,152 cited
  • 1994Predictable Risk and Returns in Emerging Markets1,042 cited
  • 1995Life Insurance Mathematics252 cited
  • 1998Formulation of the Russell-Yasuda Kasai Financial Planning Model202 cited
  • 1998Dynamic stochastic programmingfor asset-liability management186 cited
  • 2002Decoupling151 cited
  • 1977Pension mathematics with numerical illustrations133 cited
  • 2003Financial planning via multi-stage stochastic optimization106 cited
  • 1992Stochastic Two-Stage Programming98 cited
  • 1999International Asset Allocation with Time-Varying Correlations

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  • 2008Predicting the bear stock market: Macroeconomic variables as leading indicators286 cited