Optimal portfolio choice of couples with tax-deferred accounts and survival-contingent products

DOI10.1080/14697688.2023.2252852MaRDI QIDQ6089404zbMATHFDO

Authors Yongjae Lee, Woo Chang Kim

Publication date 14 December 2023

Published in Quantitative Finance (Search for Journal in Brave)

zbMATH Keywords

stochastic dual dynamic programminglife insurancetax-deferred accountsretirement planningimmediate annuitiessurvival-contingent products

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Portfolio theory (91G10)

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Cites work

• scientific article; zbMATH DE number 1241609 (Why is no real title available?)
• Dynamic sampling algorithms for multi-stage stochastic programs with risk aversion
• Formulation of the Russell-Yasuda Kasai financial planning model
• Generating scenario trees for multistage decision problems
• Improving the performance of stochastic dual dynamic programming
• Large-scale financial planning via a partially observable stochastic dual dynamic programming framework
• Life-cycle asset allocation and consumption using stochastic linear programming
• Life-cycle asset allocation with annuity markets
• Lifetime consumption and investment with housing, deferred annuities and home equity release
• Multi-stage stochastic optimization applied to energy planning
• Multistage stochastic programs with a random number of stages: dynamic programming equations, solution methods, and application to portfolio selection
• Optimal portfolio choice with annuities and life insurance for retired couples
• Optimal retirement planning with a focus on single and joint life annuities
• Personalized goal-based investing via multi-stage stochastic goal programming
• Risk neutral and risk averse stochastic dual dynamic programming method
• Scenario tree generation approaches using K-means and LP moment matching methods
• Stochastic dual dynamic programming applied to nonconvex hydrothermal models
• Time-consistent risk-constrained dynamic portfolio optimization with transactional costs and time-dependent returns

Cited in

(1)

• Optimal Portfolio Choice with Health-Contingent Income Products: The Value of Life Care Annuities

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