Dynamic stochastic accumulation model with application to pension savings management

DOI10.2298/YJOR1001001MzbMath1299.90246OpenAlexW3123083988MaRDI QIDQ5412691

Igor Melicherčík, Daniel Ševčovič

Publication date: 25 April 2014

Published in: Yugoslav Journal of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2298/yjor1001001m

zbMATH Keywords

Bellman equationutility functionrisk aversiondynamic stochastic programmingpension portfolio simulationsfunded pillarSlovak pension system

Mathematics Subject Classification ID

Stochastic programming (90C15) Dynamic programming (90C39) Financial applications of other theories (91G80) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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