Optimal consumption, investment and housing with means-tested public pension in retirement

DOI10.1016/j.insmatheco.2017.04.003zbMath1394.91184arXiv1606.08984OpenAlexW3121825827MaRDI QIDQ2364003

Pavel V. Shevchenko, Johan G. Andréasson, Alexander Novikov

Publication date: 17 July 2017

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1606.08984

zbMATH Keywords

dynamic programmingstochastic controlretirementoptimal policydefined-contribution pensionmeans-tested age pension

Mathematics Subject Classification ID

Related Items (3)

Optimal life-cycle consumption and investment decisions under age-dependent risk preferences ⋮ A bias-corrected least-squares Monte Carlo for solving multi-period utility models ⋮ Novel utility-based life cycle models to optimise income in retirement

Uses Software

• UNCMND
• pchip

Cites Work

• Unnamed Item
• Optimum consumption and portfolio rules in a continuous-time model
• Markov decision processes with applications to finance.
• Dynamic asset allocation when bequests are luxury goods
• Age-dependent investing: optimal funding and investment strategies in defined contribution pension plans when members are rational life cycle financial planners
• Wealth Inequality and Intergenerational Links

This page was built for publication: Optimal consumption, investment and housing with means-tested public pension in retirement