A Stochastic Control Approach to Defined Contribution Plan Decumulation: “The Nastiest, Hardest Problem in Finance”
From MaRDI portal
Publication:5090568
DOI10.1080/10920277.2021.1878043zbMath1497.91264arXiv2008.06598OpenAlexW3196422485MaRDI QIDQ5090568
Publication date: 20 July 2022
Published in: North American Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2008.06598
Related Items (2)
Optimal asset allocation for outperforming a stochastic benchmark target ⋮ BEATING A CONSTANT WEIGHT BENCHMARK: EASIER DONE THAN SAID
Cites Work
- Correction to “Automatic Block-Length Selection for the Dependent Bootstrap” by D. Politis and H. White
- A Jump-Diffusion Model for Option Pricing
- Optimum consumption and portfolio rules in a continuous-time model
- Better than pre-commitment mean-variance portfolio allocation strategies: a semi-self-financing Hamilton-Jacobi-Bellman equation approach
- Nonparametric tests for pathwise properties of semimartingales
- De-risking defined benefit plans
- Optimal dynamic asset allocation for DC plan accumulation/decumulation: ambition-CVaR
- Minimization of risks in pension funding by means of contributions and portfolio selection.
- Pension funding incorporating downside risks.
- Stochastic optimal control of annuity contracts.
- Time-consistent mean-variance portfolio optimization: a numerical impulse control approach
- The annuity puzzle remains a puzzle
- Dynamic approaches to pension funding
- Mean-variance target-based optimisation for defined contribution pension schemes in a stochastic framework
- On efficiency of mean–variance based portfolio selection in defined contribution pension schemes
- Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps
- The Stationary Bootstrap
- Some Notes on the Dynamics and Optimal Control of Stochastic Pension Fund Models in Continuous Time
- Automatic Block-Length Selection for the Dependent Bootstrap
- Multiperiod Mean Conditional Value at Risk Asset Allocation: Is It Advantageous to Be Time Consistent?
- OPTIMAL ASSET ALLOCATION FOR DC PENSION DECUMULATION WITH A VARIABLE SPENDING RULE
- Optimal Asset Allocation for Retirement Saving: Deterministic Vs. Time Consistent Adaptive Strategies
- Continuous time mean‐variance optimal portfolio allocation under jump diffusion: An numerical impulse control approach
- Research and Reality: A Literature Review on Drawing Down Retirement Financial Savings
This page was built for publication: A Stochastic Control Approach to Defined Contribution Plan Decumulation: “The Nastiest, Hardest Problem in Finance”