Rule-based strategies for dynamic life cycle investment

DOI10.1007/S13385-021-00283-0zbMath1492.91286arXiv2011.02596OpenAlexW3097198033MaRDI QIDQ2157220

T. R. B. den Haan, K. W. Chau, M. van der Schans, Cornelis W. Oosterlee

Publication date: 27 July 2022

Published in: European Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2011.02596

zbMATH Keywords

dynamic programmingpensionsdefined contributionlife cycle investingrule-based strategies

Mathematics Subject Classification ID

Dynamic programming (90C39) Portfolio theory (91G10) Actuarial mathematics (91G05)

Cites Work

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• Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
• Robust Locally Weighted Regression and Smoothing Scatterplots
• Valuing American Options by Simulation: A Simple Least-Squares Approach
• Optimal Asset Allocation for Retirement Saving: Deterministic Vs. Time Consistent Adaptive Strategies

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