Around the life cycle: deterministic consumption-investment strategies

DOI10.1080/10920277.2018.1450156MaRDI QIDQ4689976zbMATH OpenOpenAlexFDO

Authors Marcus C. Christiansen, Mogens Steffensen

Publication date 22 October 2018

Published in North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10920277.2018.1450156

zbMATH Keywords

continuous-time consumption-investment problemlife-cycle investmentoptimal deterministic controloptimal stochastic controlsuboptimal deterministic controls

Mathematics Subject Classification ID

Applications of optimal control and differential games (49N90) Portfolio theory (91G10) Optimal stochastic control (93E20)

Recommendations

• Deterministic mean-variance-optimal consumption and investment
• DETERMINISTIC INVESTMENT STRATEGY IN A DC PENSION PLAN WITH INFLATION RISK UNDER MEAN-VARIANCE CRITERION
• Optimal life-cycle consumption and investment decisions under age-dependent risk preferences
• Lifetime investment and consumption using a defined-contribution pension scheme
• Age-dependent investing: optimal funding and investment strategies in defined contribution pension plans when members are rational life cycle financial planners

Cites work

• A survey of numerical methods for stochastic differential equations
• Deterministic mean-variance-optimal consumption and investment
• Dynamic preferences for popular investment strategies in pension funds
• scientific article; zbMATH DE number 1200330 (Why is no real title available?)
• Lifetime consumption and investment: retirement and constrained borrowing
• On the effects of changing mortality patterns on investment, labour and consumption under uncertainty
• Optimal consumption-portfolio choices and retirement planning
• Optimal Investment and Consumption Strategies Under Risk for a Class of Utility Functions
• Optimal portfolios with a positive lower bound on final wealth
• Optimum consumption and portfolio rules in a continuous-time model
• Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans
• Stochastic optimal control with applications in financial engineering
• Target-driven investing: optimal investment strategies in defined contribution pension plans under loss aversion

Cited in

(15)

• A simple model of optimum life-cycle consumption with earnings uncertainty
• Life cycle asset allocation in the presence of housing and tax-deferred investing
• Simple explicit formula for near-optimal stochastic lifestyling
• Life-cycle welfare losses from rules-of-thumb asset allocation
• A benchmarking approach to track and compare administrative charges on flow and balance in individual account pension systems
• Lifetime investment and consumption using a defined-contribution pension scheme
• DETERMINISTIC INVESTMENT STRATEGY IN A DC PENSION PLAN WITH INFLATION RISK UNDER MEAN-VARIANCE CRITERION
• Optimal deterministic reinsurance and investment for an insurer under mean–variance criterion
• Management of portfolio depletion risk through optimal life cycle asset allocation
• Deterministic mean-variance-optimal consumption and investment
• Optimal retirement savings over the life cycle: a deterministic analysis in closed form
• A buy-hold-sell pension saving strategy
• Calibration of risk aversion to real pension asset allocation
• Optimal portfolio choice in jump-diffusion markets with longevity risk
• Optimal life-cycle consumption and investment decisions under age-dependent risk preferences

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