Time consistent mean-variance asset allocation for a DC plan with regime switching under a jump-diffusion model
type: Item
instance of: scholarly article
title: Time consistent mean-variance asset allocation for a DC plan with regime switching under a jump-diffusion model
zbMATH Open document ID: 1482.91182
author: Calisto Guambe
author: Rodwell Kufakunesu
author: Conrad Beyers
author: A. J. van Zyl
published in: Japan Journal of Industrial and Applied Mathematics
publication date: 2022-01-21T00:00:00Z
Mathematics Subject Classification ID: 91G05
Mathematics Subject Classification ID: 60J74
zbMATH DE Number: 7461763
zbMATH Keywords: DC pension plan
zbMATH Keywords: mean-variance
zbMATH Keywords: stochastic income
zbMATH Keywords: regime-switching
zbMATH Keywords: extended HJB
zbMATH Keywords: mortality risks
MaRDI profile type: Publication
full work available at URL: s13160-021-00481-z
OpenAlex ID: W3197606939
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DOI: 10.1007/S13160-021-00481-Z
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description: scientific article; zbMATH DE number 7461763