Browsing Research Articles (Mathematics and Applied Mathematics) by Author "Beyers, Conrad F.J."

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Optimal asset allocation for a DC plan with partial information under inflation and mortality risks

Guambe, Calisto; Kufakunesu, Rodwell; Van Zyl, A.J. (Gusti); Beyers, Conrad F.J. (Taylor and Francis, 2021)

We study an asset allocation stochastic problem for a defined-contribution pension plan during the accumulation phase. We consider a financial market composed of a risk-free asset, an inflation-linked bond and the risky ...
Time consistent mean-variance asset allocation for a DC plan with regime switching under a jump-diffusion model

Guambe, Calisto; Kufakunesu, Rodwell; Van Zyl, Gusti; Beyers, Conrad F.J. (Springer, 2022-01)

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 ...

Now showing items 1-2 of 2

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