OPTIMAL CONTROL OF THE DECUMULATION OF A RETIREMENT PORTFOLIO WITH VARIABLE SPENDING AND DYNAMIC ASSET ALLOCATION

DOI10.1017/asb.2021.19zbMath1476.65280arXiv2101.02760OpenAlexW3183553633MaRDI QIDQ5019044

Graham Westmacott, Peter A. I. Forsyth, Kenneth Vetzal

Publication date: 27 December 2021

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2101.02760

zbMATH Keywords

financerisk managementoptimal asset allocationdefined contribution plandecumulation

Mathematics Subject Classification ID

Stability and convergence of numerical methods for boundary value problems involving PDEs (65N12) Finite difference methods for boundary value problems involving PDEs (65N06) PDEs in connection with control and optimization (35Q93) Actuarial mathematics (91G05)

Cites Work

• Correction to “Automatic Block-Length Selection for the Dependent Bootstrap” by D. Politis and H. White
• Dynamic mean-risk portfolio selection with multiple risk measures in continuous-time
• Better than pre-commitment mean-variance portfolio allocation strategies: a semi-self-financing Hamilton-Jacobi-Bellman equation approach
• Nonparametric tests for pathwise properties of semimartingales
• De-risking defined benefit plans
• Time-consistent and self-coordination strategies for multi-period mean-conditional value-at-risk portfolio selection
• Optimal dynamic asset allocation for DC plan accumulation/decumulation: ambition-CVaR
• Time-consistent mean-variance portfolio optimization: a numerical impulse control approach
• Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps
• The Stationary Bootstrap
• Automatic Block-Length Selection for the Dependent Bootstrap
• The 4% strategy revisited: a pre-commitment mean-variance optimal approach to wealth management
• Multiperiod Mean Conditional Value at Risk Asset Allocation: Is It Advantageous to Be Time Consistent?
• OPTIMAL ASSET ALLOCATION FOR DC PENSION DECUMULATION WITH A VARIABLE SPENDING RULE
• Optimal Asset Allocation for Retirement Saving: Deterministic Vs. Time Consistent Adaptive Strategies
• Research and Reality: A Literature Review on Drawing Down Retirement Financial Savings

This page was built for publication: OPTIMAL CONTROL OF THE DECUMULATION OF A RETIREMENT PORTFOLIO WITH VARIABLE SPENDING AND DYNAMIC ASSET ALLOCATION