Instantaneous mean-variance hedging and instantaneous Sharpe ratio pricing in a regime-switching financial model, with applications to equity-linked claims
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- Marina Di Giacinto & Salvatore Federico & Fausto Gozzi, 2011. "Pension funds with a minimum guarantee: a stochastic control approach," Finance and Stochastics, Springer, vol. 15(2), pages 297-342, June.
- Francesco Menoncin, "undated". "Risk management for pension funds," Working Papers ubs0403, University of Brescia, Department of Economics.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-03-23 (All new papers)
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