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Optimal management of defined contribution pension funds under the effect of inflation, mortality and uncertainty
16 references·1 citing·44 second hop
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References

  • 1825XXIV. On the nature of the function expressive of the law of human mortality, and on a new mode of determining the value of life contingencies. In a letter to Francis Baily, Esq. F. R. S. &c3,817 cited
  • 2001Robust Control and Model Uncertainty1,349 cited
  • 1997Martingale Methods in Financial Modelling1,085 cited
  • 2009Continuous-time Stochastic Control and Optimization with Financial Applications1,041 cited
  • 2004Robust Portfolio Rules and Asset Pricing784 cited
  • 2003A Quartet of Semigroups for Model Specification, Robustness, Prices of Risk, and Model Detection635 cited
  • 2003Model Misspecification and Underdiversification474 cited
  • 2009The impact of risk and uncertainty on expected returns☆408 cited
  • 2005Affine processes for dynamic mortality and actuarial valuations354 cited
  • 2005Martingale Methods in Financial Modelling335 cited
  • 2006Living with Mortality: Longevity Bonds and Other Mortality-Linked Securities273 cited
  • 2017Stochastic Optimal Control in Infinite Dimension169 cited
  • 2020Stochastic differential games for optimal investment problems in a Markov regime-switching jump-diffusion market139 cited
  • 2010Pension funds with a minimum guarantee: a stochastic control approach98 cited

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1997
Optimal Portfolios: Stochastic Models For Optimal Investment And Risk Management In Continuous Time
92 cited
  • 2018Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility90 cited
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    • 2023Platform information sharing and selling contract strategies with blockchain adoption24 cited