Optimal pension fund management in a jump-diffusion environment: theoretical and empirical studies

DOI10.1016/J.CAM.2017.07.018zbMath1415.91160OpenAlexW2747791209MaRDI QIDQ1675952

Charles I. Nkeki

Publication date: 3 November 2017

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2017.07.018

zbMATH Keywords

consumptionincome riskjump risksinflation environmentoptimal pension fund

Mathematics Subject Classification ID

Dynamic programming (90C39) Portfolio theory (91G10)

Related Items (6)

Optimal DC pension management under inflation risk with jump diffusion price index and cost of living process ⋮ An optimal portfolio problem of DC pension with input-delay and jump-diffusion process ⋮ Robust portfolio choice for a DC pension plan with inflation risk and mean-reverting risk premium under ambiguity ⋮ Optimal investment risks and debt management with backup security in a financial crisis ⋮ Optimal investment in the presence of intangible assets and collateralized optimal debt ratio in jump-diffusion models ⋮ A simple numerical solution for an optimal investment strategy for a DC pension plan in a jump diffusion model

Uses Software

• SPSS
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Cites Work

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