Heterogeneity-adjusted management of pension funds using adaptive representative agents

DOI10.1007/s10203-022-00384-9zbMath1530.91512OpenAlexW4313680410MaRDI QIDQ6089411

Thepdanai Danswasvong, Sira Suchintabandid

Publication date: 17 November 2023

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10203-022-00384-9

zbMATH Keywords

dynamic programmingstochastic controlheterogeneityoptimal asset allocationdefined-benefit pension fund

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Actuarial mathematics (91G05)

Cites Work

• Mean-variance optimization problems for an accumulation phase in a defined benefit plan
• Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans
• Optimal risk management in defined benefit stochastic pension funds
• Optimal pension funding dynamics over infinite control horizon when stochastic rates of return are stationary
• Optimal contributions in a defined benefit pension scheme with stochastic new entrants
• Optimal investment strategy for defined contribution pension schemes

This page was built for publication: Heterogeneity-adjusted management of pension funds using adaptive representative agents