OPTIMAL CONTROL OF THE DECUMULATION OF A RETIREMENT PORTFOLIO WITH VARIABLE SPENDING AND DYNAMIC ASSET ALLOCATION

DOI10.1017/ASB.2021.19zbMath1476.65280arXiv2101.02760OpenAlexW3183553633MaRDI QIDQ5019044

Graham Westmacott, Peter A. I. Forsyth, Kenneth Vetzal

Publication date: 27 December 2021

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2101.02760

zbMATH Keywords

financerisk managementoptimal asset allocationdefined contribution plandecumulation

Mathematics Subject Classification ID

Stability and convergence of numerical methods for boundary value problems involving PDEs (65N12) Finite difference methods for boundary value problems involving PDEs (65N06) PDEs in connection with control and optimization (35Q93) Actuarial mathematics (91G05)

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Cites Work

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