Time consistent mean-variance asset allocation for a DC plan with regime switching under a jump-diffusion model

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dc.contributor.author Guambe, Calisto
dc.contributor.author Kufakunesu, Rodwell
dc.contributor.author Van Zyl, Gusti
dc.contributor.author Beyers, Conrad F.J.
dc.date.accessioned 2022-06-13T13:13:46Z
dc.date.issued 2022-01
dc.description.abstract In this paper, we study a time consistent solution for a defined contribution pension plan under a mean-variance criterion with regime switching in a jump-diffusion setup, during the accumulation phase. We consider a market consisting of a risk-free asset and a geometric jump-diffusion risky asset process. Our solution allows the fund manager to incorporate a clause which allows for the distribution of a member’s premiums to his surviving dependents, should the member die before retirement. Applying the extended Hamilton-Jacobi-Bellman (HJB) equation, we derive the explicit time consistent equilibrium strategy and the value function. We then provide some numerical simulations to illustrate our results. en_US
dc.description.department Insurance and Actuarial Science en_US
dc.description.department Mathematics and Applied Mathematics en_US
dc.description.embargo 2022-08-30
dc.description.librarian hj2022 en_US
dc.description.sponsorship The University of Pretoria ABSA Chair in Actuarial Science en_US
dc.description.uri http://link.springer.com/journal/13160 en_US
dc.identifier.citation Guambe, C., Kufakunesu, R., van Zyl, G. et al. Time consistent mean-variance asset allocation for a DC plan with regime switching under a jump-diffusion model. Japan Journal of Industrial and Applied Mathematics 39, 119–143 (2022). https://doi.org/10.1007/s13160-021-00481-z. en_US
dc.identifier.issn 0916-7005 (print)
dc.identifier.issn 1868-937X (online)
dc.identifier.other 10.1007/s13160-021-00481-z
dc.identifier.uri https://repository.up.ac.za/handle/2263/85814
dc.language.iso en en_US
dc.publisher Springer en_US
dc.rights © The JJIAM Publishing Committee and Springer Japan KK, part of Springer Nature 2021. The original publication is available at : http://link.springer.com/journal/13160. en_US
dc.subject Hamilton-Jacobi-Bellman (HJB) en_US
dc.subject DC pension plan en_US
dc.subject Mean-variance en_US
dc.subject Stochastic income en_US
dc.subject Regime-switching en_US
dc.subject Extended HJB en_US
dc.subject Mortality risks en_US
dc.title Time consistent mean-variance asset allocation for a DC plan with regime switching under a jump-diffusion model en_US
dc.type Postprint Article en_US


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