OPTIMAL ASSET ALLOCATION FOR DC PENSION DECUMULATION WITH A VARIABLE SPENDING RULE
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Publication:5119563
DOI10.1017/ASB.2020.8zbMath1447.91138OpenAlexW3017027175MaRDI QIDQ5119563
Graham Westmacott, Peter A. I. Forsyth, Kenneth Vetzal
Publication date: 31 August 2020
Published in: ASTIN Bulletin (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/asb.2020.8
Optimal stochastic control (93E20) Integro-partial differential equations (35R09) Actuarial mathematics (91G05)
Related Items (4)
A Stochastic Control Approach to Defined Contribution Plan Decumulation: “The Nastiest, Hardest Problem in Finance” ⋮ Optimal performance of a tontine overlay subject to withdrawal constraints ⋮ Optimal defined-contribution pension management with financial and mortality risks ⋮ OPTIMAL CONTROL OF THE DECUMULATION OF A RETIREMENT PORTFOLIO WITH VARIABLE SPENDING AND DYNAMIC ASSET ALLOCATION
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