OPTIMAL ASSET ALLOCATION FOR DC PENSION DECUMULATION WITH A VARIABLE SPENDING RULE

DOI10.1017/asb.2020.8zbMath1447.91138OpenAlexW3017027175MaRDI QIDQ5119563

Graham Westmacott, Peter A. I. Forsyth, Kenneth Vetzal

Publication date: 31 August 2020

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/asb.2020.8

zbMATH Keywords

optimal controlHJB equationdecumulationannually recalculated virtual annuityDC pension plans

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Integro-partial differential equations (35R09) Actuarial mathematics (91G05)

Related Items (2)

A Stochastic Control Approach to Defined Contribution Plan Decumulation: “The Nastiest, Hardest Problem in Finance” ⋮ OPTIMAL CONTROL OF THE DECUMULATION OF A RETIREMENT PORTFOLIO WITH VARIABLE SPENDING AND DYNAMIC ASSET ALLOCATION

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