Heterogeneity-adjusted management of pension funds using adaptive representative agents
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Publication:6089411
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
dynamic programmingstochastic controlheterogeneityoptimal asset allocationdefined-benefit pension fund
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
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