Optimal investment for a defined-contribution pension scheme under a regime switching model
Year of publication: |
2015
|
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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 | Analysis | Mathematical analysis | Pensionskasse | Pension fund | Optionspreistheorie | Option pricing theory |
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