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

  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case5,199 cited
  • 2005Stochastic Integration and Differential Equations4,594 cited
  • 1989Why Does Stock Market Volatility Change Over Time?3,433 cited
  • 2001Valuing American Options by Simulation: A Simple Least-Squares Approach3,218 cited
  • 1997Backward Stochastic Differential Equations in Finance2,339 cited
  • 1985Stock Returns and the Term Structure2,260 cited
  • 1989Why Does Stock Market Volatility Change Over Time?1,209 cited
  • 1995Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin607 cited
  • 2001A Regime-Switching Model of Long-Term Stock Returns436 cited
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  • 2005Stochastic lifestyling: Optimal dynamic asset allocation for defined contribution pension plans309 cited
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  • 1989Stock prices, asset portfolios and macroeconomic variables in ten European countries

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267 cited
  • 2006Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging193 cited
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    • 2019Management of Portfolio Depletion Risk through Optimal Life Cycle Asset Allocation18 cited