Multi-period defined contribution pension funds investment management with regime-switching and mortality risk
Year of publication: |
November 2016
|
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Authors: | Yao, Haixiang ; Chen, Ping ; Li, Xun |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 71.2016, p. 103-113
|
Subject: | Contribution pension funds | Multi-period mean-variance | Regime switching | Mortality risk | Dynamic programming | Sterblichkeit | Mortality | Pensionskasse | Pension fund | Portfolio-Management | Portfolio selection | Dynamische Optimierung | Markov-Kette | Markov chain | Institutioneller Investor | Institutional investor |
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