Around the Life Cycle: Deterministic Consumption-Investment Strategies

DOI10.1080/10920277.2018.1450156zbMath1416.91345OpenAlexW3121923687MaRDI QIDQ4689976

Marcus C. Christiansen, Mogens Steffensen

Publication date: 22 October 2018

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2018.1450156

zbMATH Keywords

optimal stochastic controllife-cycle investmentoptimal deterministic controlcontinuous-time consumption-investment problemsuboptimal deterministic controls

Mathematics Subject Classification ID

Applications of optimal control and differential games (49N90) Optimal stochastic control (93E20) Portfolio theory (91G10)

Related Items

Optimal life-cycle consumption and investment decisions under age-dependent risk preferences ⋮ DETERMINISTIC INVESTMENT STRATEGY IN A DC PENSION PLAN WITH INFLATION RISK UNDER MEAN-VARIANCE CRITERION ⋮ Optimal deterministic reinsurance and investment for an insurer under mean–variance criterion ⋮ A benchmarking approach to track and compare administrative charges on flow and balance in individual account pension systems ⋮ Management of Portfolio Depletion Risk through Optimal Life Cycle Asset Allocation

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