Optimal consumption, investment and housing with means-tested public pension in retirement
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Publication:2364003
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
dynamic programmingstochastic controlretirementoptimal policydefined-contribution pensionmeans-tested age pension
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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
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Cites Work
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- 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
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