A combined stochastic programming and optimal control approach to personal finance and pensions

DOI10.1007/S00291-014-0375-6zbMATH Open1318.91184OpenAlexW3125984113WikidataQ58826327 ScholiaQ58826327MaRDI QIDQ2516635FDOQ2516635

Agnieszka Karolina Konicz, David Pisinger, Mogens Steffensen, K. M. Rasmussen

Publication date: 3 August 2015

Published in: OR Spectrum (Search for Journal in Brave)

Full work available at URL: https://orbit.dtu.dk/en/publications/00cf41bd-764c-438a-bcdb-a40f77964886

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zbMATH Keywords

dynamic programmingretirementpower utilitypersonal financemulti-period stochastic programming

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Dynamic programming (90C39) Portfolio theory (91G10) Stochastic programming (90C15)

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Cited In (9)

• Combining stochastic programming and optimal control to decompose multistage stochastic optimization problems
• Optimal annuity portfolio under inflation risk
• Financial optimization: optimization paradigms and financial planning under uncertainty
• Optimal investment for a retirement plan with deferred annuities
• A multistage risk-averse stochastic programming model for personal savings accrual: the evidence from Lithuania
• Planning of cascade hydropower stations with the consideration of long-term operations under uncertainties
• Title not available (Why is that?)
• Optimal long-term Tier 1 employee pension management with an application to Chinese urban areas
• Large-scale financial planning via a partially observable stochastic dual dynamic programming framework

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