A pension fund in the accumulation phase: a stochastic control approach

zbMATH Open1153.91493MaRDI QIDQ3534747FDOQ3534747

Authors: Salvatore Federico 

Publication date: 4 November 2008

Recommendations

• Pension funds with a minimum guarantee: a stochastic control approach
• Optimal pension management in a stochastic framework.
• Stochastic optimal control of DC pension funds
• Income drawdown option with minimum guarantee
• Optimal asset allocation for aggregated defined benefit pension funds with stochastic interest rates

zbMATH Keywords

dynamic programmingstochastic optimal controlviscosity solutionsdefined contribution pension fundHamilton--Jacobi--Bellman equations

Mathematics Subject Classification ID

Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Optimal stochastic control (93E20)

Cited In (13)

• Time consistent mean-variance asset allocation for a DC plan with regime switching under a jump-diffusion model
• A stochastic control problem with delay arising in a pension fund model
• Dynamic stochastic accumulation model with application to pension savings management
• Optimal Dynamic Control for the Defined Benefit Pension Plans with Stochastic Benefit Outgo
• Pension funds with a minimum guarantee: a stochastic control approach
• Income drawdown option with minimum guarantee
• Stochastic pension fund control in the presence of Poisson jumps
• Optimal asset allocation for a DC plan with partial information under inflation and mortality risks
• Optimal control of stochastic delay equations and time-advanced backward stochastic differential equations
• Portfolio optimization under a quantile hedging constraint
• Optimal chance-constrained pension fund management through dynamic stochastic control
• Bayesian optimal control for a non-autonomous stochastic discrete time system
• Title not available (Why is that?)

This page was built for publication: A pension fund in the accumulation phase: a stochastic control approach

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3534747)