Optimal savings management for individuals with defined contribution pension plans

DOI10.1016/J.EJOR.2014.11.016zbMath1346.91211OpenAlexW2087190877MaRDI QIDQ319058

John M. Mulvey, Agnieszka Karolina Konicz

Publication date: 6 October 2016

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2014.11.016

zbMATH Keywords

stochastic programmingstochastic optimal controlpensionsfinanceutility theory

Mathematics Subject Classification ID

Stochastic programming (90C15) Utility theory (91B16) Optimal stochastic control (93E20) Portfolio theory (91G10)

Related Items (12)

Asset allocation under loss aversion and minimum performance constraint in a DC pension plan with inflation risk ⋮ DETERMINISTIC INVESTMENT STRATEGY IN A DC PENSION PLAN WITH INFLATION RISK UNDER MEAN-VARIANCE CRITERION ⋮ Multi-period defined contribution pension funds investment management with regime-switching and mortality risk ⋮ Health insurance, portfolio choice, and retirement incentives ⋮ Optimal investment for a retirement plan with deferred annuities allowing for inflation and labour income risk ⋮ Bayesian value-at-risk backtesting: the case of annuity pricing ⋮ A multistage risk-averse stochastic programming model for personal savings accrual: the evidence from Lithuania ⋮ Optimal defined-contribution pension management with financial and mortality risks ⋮ Dynamic discrete-time portfolio selection for defined contribution pension funds with inflation risk ⋮ Novel utility-based life cycle models to optimise income in retirement ⋮ Optimal retirement planning with a focus on single and joint life annuities ⋮ Optimal annuity portfolio under inflation risk

Cites Work

• Unnamed Item
• Generating Scenario Trees for Multistage Decision Problems
• Optimum consumption and portfolio rules in a continuous-time model
• Scenario tree generation approaches using K-means and LP moment matching methods
• Following the rules: integrating asset allocation and annuitization in retirement portfolios
• Scenario tree modeling for multistage stochastic programs
• Pensionmetrics 2: Stochastic pension plan design during the distribution phase.
• A heuristic for moment-matching scenario generation
• Scenario tree reduction for multistage stochastic programs
• Formulation of the Russell-Yasuda Kasai Financial Planning Model
• Concepts, Technical Issues, and Uses of the Russell-Yasuda Kasai Financial Planning Model
• Optimal Consumption and Insurance: A Continuous-time Markov Chain Approach
• Life-cycle asset allocation and consumption using stochastic linear programming
• Lectures on Stochastic Programming
• Introduction to Stochastic Programming

This page was built for publication: Optimal savings management for individuals with defined contribution pension plans