Optimal investment for a defined-contribution pension scheme under a regime switching model
By An Chen and Lukasz Delong
| Year of publication: |
2015
|
|---|---|
| Authors: | Chen, An ; Delong, Łukasz |
| Published in: |
Astin bulletin : the journal of the International Actuarial Association. - Cambridge : Cambridge University Press, ISSN 0515-0361, ZDB-ID 419201-1. - Vol. 45.2015, 2, p. 397-419
|
| Subject: | Exponential utility maximization | macroeconomic risks | certainty equivalent | backward stochastic differential equations | Stochastischer Prozess | Stochastic process | Portfolio-Management | Portfolio selection | Optionspreistheorie | Option pricing theory | Hedging | Nutzenfunktion | Utility function | Analysis | Mathematical analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011312280