Optimal savings management for individuals with defined contribution pension plans

DOI10.1016/j.ejor.2014.11.016zbMath1346.91211OpenAlexW2087190877MaRDI QIDQ319058

John M. Mulvey, Agnieszka Karolina Konicz

Publication date: 6 October 2016

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2014.11.016

zbMATH Keywords

stochastic programmingstochastic optimal controlpensionsfinanceutility theory

Mathematics Subject Classification ID

Related Items (11)

Asset allocation under loss aversion and minimum performance constraint in a DC pension plan with inflation risk ⋮ DETERMINISTIC INVESTMENT STRATEGY IN A DC PENSION PLAN WITH INFLATION RISK UNDER MEAN-VARIANCE CRITERION ⋮ Multi-period defined contribution pension funds investment management with regime-switching and mortality risk ⋮ Health insurance, portfolio choice, and retirement incentives ⋮ Optimal investment for a retirement plan with deferred annuities allowing for inflation and labour income risk ⋮ Bayesian value-at-risk backtesting: the case of annuity pricing ⋮ A multistage risk-averse stochastic programming model for personal savings accrual: the evidence from Lithuania ⋮ Dynamic discrete-time portfolio selection for defined contribution pension funds with inflation risk ⋮ Novel utility-based life cycle models to optimise income in retirement ⋮ Optimal retirement planning with a focus on single and joint life annuities ⋮ Optimal annuity portfolio under inflation risk

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